Costly reversible investment with fixed costs: An empirical study

被引：8

作者：

Asano, H ^{[1
]}

机构：

[1] Asia Univ, Dept Econ, Tokyo 1808629, Japan

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2002年 / 20卷 / 02期

关键词：

adjustment costs; capital investment; friction model; model selection; serial correlation; two-step estimation;

D O I：

10.1198/073500102317351976

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The analysis presented here applies a generalized version of the friction model to costly reversible investment with fixed costs of investment. The analysis investigates three U.S. industries: the computer and office equipment industry, the automobile industry, and the airline industry. Five different investment models are compared. Because some models are nonnested, the analysis employs Vuong's test of model selection. The analysis shows that the investment model with costly reversibility and fixed costs is the best among the models. In addition, the analysis suggests the existence of convex adjustment costs of investment.

引用

页码：227 / 240

页数：14

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