Dynamic Optimization in the Presence of Liquidity and Other Constraints: A Theoretical Framework and Semiparametric Simulation Estimation Methods

在这个项目中，采用模拟的创新计算计量经济学方法，以处理长面板联合离散/连续决策的参数估计。然后将这些方法应用于一系列长期存在的计量经济学估计问题。潜在的计量经济模型遵循经济单位（如个人或公司）在存在流动性和其他类似数量限制的情况下的动态优化。所提出的研究使这些仿真估计方法成为一种灵活而强大的工具，用于估计涉及在多个区域之间切换的离散/连续决策的动态优化问题。利用半参数估计技术放宽了严格的参数规格假设。从参数仿真估计领域的最新进展出发，研究了半参数方法与仿真相结合的估计技术。这种方法对于从理论框架中自然产生的离散/连续计量经济模型尤其重要。所开发的方法已应用于几个重要的动态约束问题。公司的应用涉及到消费和劳动力供给决策的问题，通过对住房决策的研究，使用来自收入动态小组研究的数据，并与消费者财务调查的数据交叉检查结果。第二个主要应用程序使用来自COMPUSTAT的数据并研究公司的决策，其中投资融资模式定义了不同的定性制度，其中人员流失可能是由于破产和其他类型的退出。

In this project innovative computational econometric approaches that employ simulation are adapted in order to handle parametric estimation of joint discrete/continuous decisions with long panels. The methods are then applied to a family of long- standing econometric estimation problems. The underlying econometric models follow from dynamic optimization by economic units (such as individuals or firms) in the presence of liquidity and other similar quantity constraints. The proposed research makes these simulation estimation methods a flexible and powerful tool for the estimation of dynamic optimization problems that involve discrete/continuous decisions with switching among several regimes. Stringent parametric specification assumptions are relaxed by means of semiparametric estimation techniques. Starting from recent developments in the field of parametric simulation estimation, estimation techniques are investigated that combine semiparametric methods with simulation. Such methods are particularly important for the discrete/continuous econometric models naturally arising from the theoretical framework. The methods developed are applied to several important dynamic constrained problems. The firms application involves the problem of consumption and labor supply decisions augmented with a study of housing decision, using data from the Panel Study of Income Dynamics, and cross-checking the results with data from the Survey of Consumer Finances. The second major application uses data from COMPUSTAT and studies firms' decisions, where modes of investment finance define distinct qualitative regimes and where attrition may be due to bankruptcy and other types of exit.