Estimating and Testing Dynamic Corporate Finance Models

• 成果类型: Article
• 署名作者: Bazdresch, Santiago; Kahn, R. Jay; Whited, Toni M.
• 署名单位: Bank of Mexico; University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx080
• 发表日期: 2018
• 页码: 322
• 关键词: Structural estimation; capital structure; panel data; debt; INVESTMENT; moments; errors

摘要

We assess the finite sample performance of simulation estimators that are used to estimate the parameters of dynamic corporate finance models. We formulate an external validity specification test and propose a new set of statistical benchmarks that can be used to estimate and evaluate these models. These benchmarks are based on model policy functions. Our Monte Carlo simulations show that the estimators are largely unbiased with low root mean squared errors. When computed with an optimal weight matrix, the specification tests associated with the estimators are close to correctly sized. These tests have excellent power to detect misspecification.