TY - BOOK AU - Christensen,Bent Jesper AU - Kiefer,Nicholas M. TI - Economic Modeling and Inference SN - 9781400833108 AV - HB141 .C535 2009eb U1 - 330.01/5195 22 PY - 2021///] CY - Princeton, NJ : PB - Princeton University Press, KW - Econometric models KW - Economics KW - Mathematical models KW - Statistical methods KW - BUSINESS & ECONOMICS / Econometrics KW - bisacsh KW - Bayes estimate KW - Bellman equation KW - Brownian motion KW - CAPM KW - Euler equations KW - Feller Property KW - Fourier frequency KW - actions KW - ancillarity KW - annealing KW - arbitrage KW - asset allocation KW - asymmetric information KW - asymptotics KW - autocorrelation KW - auxiliary model KW - average reward KW - backwardation KW - baseline hazard KW - bimodality KW - bipower variation KW - bond KW - budget constraint KW - business cycle KW - cash flow KW - censoring KW - complexity KW - compounding KW - concavity KW - consistent drift condition KW - consumption KW - continuation region KW - contraction mapping theorem KW - convenience yield KW - debt-equity ratio KW - degeneracy KW - delivery KW - discount function KW - dynamic programming KW - efficiency KW - electricity KW - employment KW - encompassing KW - expected utility KW - factor loading KW - fiscal policy KW - growth model KW - hazard function KW - heavy-tailed distribution KW - hedging KW - instrumental variable KW - intertemporal substitution N1 - Frontmatter --; Contents --; Preface --; Chapter One Introduction --; Chapter Two Components of a Dynamic Programming Model --; Chapter Three Discrete States and Controls --; Chapter Four Likelihood Functions for Discrete State/Control Models --; Chapter Five Random Utility Models --; Chapter Six Continuous States, Discrete Controls --; Chapter Seven Econometric Framework for the Search Model --; Chapter Eight Exact Distribution Theory for the Job Search Model --; Chapter Nine Measurement Error in the Prototypal Job Search Model --; Chapter Ten Asset Markets --; Chapter Eleven Financial Options --; Chapter Twelve Retirement --; Chapter Thirteen Continuous States and Controls --; Chapter Fourteen Continuous-Time Models --; Chapter Fifteen Microeconomic Applications --; Chapter Sixteen Macroeconomic Applications --; Chapter Seventeen Finance Application: Futures Hedging --; Chapter Eighteen Intertemporal Asset Pricing --; Chapter Nineteen Dynamic Equilibrium: The Search Model --; Chapter Twenty Dynamic Equilibrium: Search Equilibrium Extensions --; Appendix Brief Review of Statistical Theory --; References --; Index; restricted access N2 - Economic Modeling and Inference takes econometrics to a new level by demonstrating how to combine modern economic theory with the latest statistical inference methods to get the most out of economic data. This graduate-level textbook draws applications from both microeconomics and macroeconomics, paying special attention to financial and labor economics, with an emphasis throughout on what observations can tell us about stochastic dynamic models of rational optimizing behavior and equilibrium. Bent Jesper Christensen and Nicholas Kiefer show how parameters often thought estimable in applications are not identified even in simple dynamic programming models, and they investigate the roles of extensions, including measurement error, imperfect control, and random utility shocks for inference. When all implications of optimization and equilibrium are imposed in the empirical procedures, the resulting estimation problems are often nonstandard, with the estimators exhibiting nonregular asymptotic behavior such as short-ranked covariance, superconsistency, and non-Gaussianity. Christensen and Kiefer explore these properties in detail, covering areas including job search models of the labor market, asset pricing, option pricing, marketing, and retirement planning. Ideal for researchers and practitioners as well as students, Economic Modeling and Inference uses real-world data to illustrate how to derive the best results using a combination of theory and cutting-edge econometric techniques.Covers identification and estimation of dynamic programming models Treats sources of error--measurement error, random utility, and imperfect control Features financial applications including asset pricing, option pricing, and optimal hedging Describes labor applications including job search, equilibrium search, and retirement Illustrates the wide applicability of the approach using micro, macro, and marketing examples UR - https://doi.org/10.1515/9781400833108?locatt=mode:legacy UR - https://www.degruyter.com/isbn/9781400833108 UR - https://www.degruyter.com/cover/covers/9781400833108.jpg ER -