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Economic Modeling and Inference / Nicholas M. Kiefer, Bent Jesper Christensen.

By: Contributor(s): Material type: TextTextPublisher: Princeton, NJ : Princeton University Press, [2021]Copyright date: ©2009Description: 1 online resource (488 p.) : 19 line illus. 21 tablesContent type:
Media type:
Carrier type:
ISBN:
  • 9781400833108
Subject(s): DDC classification:
  • 330.01/5195 22
LOC classification:
  • HB141 .C535 2009eb
Other classification:
  • online - DeGruyter
Online resources:
Contents:
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
Summary: 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
Holdings
Item type Current library Call number URL Status Notes Barcode
eBook eBook Biblioteca "Angelicum" Pont. Univ. S.Tommaso d'Aquino Nuvola online online - DeGruyter (Browse shelf(Opens below)) Online access Not for loan (Accesso limitato) Accesso per gli utenti autorizzati / Access for authorized users (dgr)9781400833108

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 online access with authorization star

http://purl.org/coar/access_right/c_16ec

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

Mode of access: Internet via World Wide Web.

In English.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)