Upcoming seminars
13/05/2026 at 1 pm
Víctor Aguirregabiria
(University of Toronto, Canada)
"Integrating Subjective Beliefs Data into Dynamic Structural Models of Firm Behavior"
Abstract: Firm-level panel datasets with managers' subjective beliefs about future decisions and outcomes are increasingly available to researchers. These belief data not only have strong predictive power for actual outcomes but also yield measures of subjective uncertainty that closely track the realized volatility of key variables. However, dynamic structural models of firm behavior rarely incorporate such data. This paper proposes and implements a framework for integrating managers' beliefs data into dynamic structural models. Our approach uses these data to enrich the specification of serially correlated unobservables, allowing for firm-specific stochastic processes and learning dynamics. We also develop tests of rational expectations. We apply our framework to a dynamic input demand model using both simulated data (Monte Carlo experiments) and firm-level data from the Survey of Business Uncertainty (SBU). Incorporating belief data reveals significant sources of persistent heterogeneity and uncertainty in productivity and input costs, which have typically been assumed away in previous studies. Our empirical results highlight the quantitative importance of belief heterogeneity for firms' investment and hiring dynamics.
How to attend the seminar:
The seminar will be streamed on-line.
To receive the seminar invitation with the streaming link, please send an email to teoriahistoriauam@gmail.com
Organisers: Jorge García Hombrados, Ana Nuevo Chiquero, and Damian Pierri