Empirical evidence on the Euler equation for investment in the US
研究了DSGE模型中投资欧拉方程的典型设定是否与美国宏观数据一致，发现使用对弱工具变量稳健且能利用结构变化信息的计量方法时答案是肯定的，但参数信息很少，贝叶斯估计更准确。
Summary Is the typical specification of the Euler equation for investment employed in dynamic stochastic general equilibrium (DSGE) models consistent with aggregate macro data? The answer is yes using state‐of‐the‐art econometric methods that are robust to weak instruments and exploit information in possible structural changes. Unfortunately, however, there is very little information about the values of the parameters in aggregate data because investment is unresponsive to changes in capital utilization and the real interest rate. Bayesian estimation using fully specified DSGE models is more accurate due to both informative priors and cross‐equation restrictions.