Dynamic Switching Regression Models of the Euler Equation: Estimation by the Method of Simulated Scores

该工作推广了切换回归模型和有限因变量模型，以便将它们应用于动态环境中。利用收入动态小组调查，调查人员将估计涉及欧拉方程的生命周期模型的参数。该模型将纳入终身预算约束和流动性约束的假设。本研究的一个重要进展是利用模拟得分的方法对模型进行估计。家庭似乎确实在很长一段时间内改变了消费和劳动力供应模式。他们很可能在生命的早期，在重大购买或不可预见的事件(如失业、灾难性疾病等)时受到限制。将流动性约束的内生性和不完全可观测性纳入正在估计的模型类型，将使确认这些约束对家庭行为的重要性变得更容易。由于所使用的方法，这些技术也可以推广到公司面临的约束。

The work generalizes switching regression models and limited dependent variable models in order to apply them in a dynamic context. Using the Panel Survey on Income Dynamics, the investigators will estimate the parameters of a lifecycle model involving Euler equations. Incorporated in this model will be the assumptions of a lifetime budget constraint as well as a liquidity constraint. One of the important developments in this research is the use of the method of simulated scores to estimate the model. Households do appear to switch their consumption and labor supply patterns over long periods. They are likely to be constrained early on in their lifetime, at the time of major purchases or unforseen events (such as unemployment, catastrophic illness, etc). The incorporation of the endogeneity and imperfect observability of liquidity constraints in the type of model that is being estimated will make it easier to confirm the importance of these constraints on household behavior. Because of the methods used, the techniques can be generalized to the constraints that firms face, as well.