SummaryIs 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.

中文翻译：

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美国投资欧拉方程的经验证据

摘要动态随机一般均衡 (DSGE) 模型中采用的投资欧拉方程的典型规范与总体宏观数据是否一致？答案是肯定的，使用最先进的计量经济学方法，这些方法对弱工具具有鲁棒性，并利用可能的结构变化中的信息。然而不幸的是，由于投资对资本利用率和实际利率的变化反应迟钝，因此关于汇总数据中参数值的信息非常少。由于信息丰富的先验和交叉方程的限制，使用完全指定的 DSGE 模型的贝叶斯估计更加准确。