Estimating and Testing Dynamic Corporate Finance Models
评估了用于估计动态公司金融模型参数的模拟估计量的有限样本表现，提出了外部有效性检验和基于模型政策函数的统计基准，蒙特卡洛模拟显示估计量偏差小、均方根误差低，检验具有良好的检验功效。
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. Received August 19, 2016; editorial decision May 30, 2017 by Editor Stijn Van Nieuwerburgh.