Economic modeling and inference:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2009
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. [441] - 467 |
| Physical Description: | XIV, 482 S. graph. Darst. |
| ISBN: | 9780691120591 |
Staff View
MARC
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| 245 | 1 | 0 | |a Economic modeling and inference |c Bent Jesper Christensen and Nicholas M. Kiefer |
| 264 | 1 | |a Princeton, NJ [u.a.] |b Princeton Univ. Press |c 2009 | |
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Record in the Search Index
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| adam_text |
Contents
Preface
1
Introduction
1.1
Expected Utility Theory
1.2
Uncertainty Aversion,
Ellsberg
and
Allais
1.3
Structural Versus Reduced-Form Methods
1.4
Exercises
1.5
References
2
Components of a Dynamic Programming Model
2.1
Examples
2.2
Data Configurations
2.3
The Objective Function
2.4
The State Variables
2.5
The Control Variables
2.6
The Transition Distribution
2.7
The Curse of Dimensionality
2.8
The Curse of Degeneracy
2.9
Exercises
1
1
4
6
7
9
9
13
16
17
18
19
21
22
24
2.10
References
25
3
Discrete States and Controls
26
3.1
Solving DP Problems: Finite Horizon
26
3.2
Solving DP Problems: Infinite Horizon
30
3.2.1
The Method of Successive Approximation
32
3.2.2
The Method of Policy Iteration
34
3.3
Identification: A Preview
35
3.4
Exercises
37
3.5
References
37
4
Likelihood Functions for Discrete State/Control Models
38
4.1
Likelihood with Complete Observability
38
4.2
Measurement Error
45
4.3
Imperfect Control
51
4.4
Conclusions
54
4.5
Exercises
55
4.6
References
55
V¡¡¡
CONTENTS
5
Random Utility Models
57
5.1
Introduction
57
5.2
The Value Function
59
5.3
A Binary Utility Shock
60
5.4
A Continuously Distributed Utility Shock
62
5.5
Choice Probabilities
65
5.6
Dynamic Continuous Random Utility
66
5.7
Exercises
69
5.8
References
70
6
Continuous States, Discrete Controls
71
6.1
Introduction
71
6.2
Transition Distributions and Utility
73
6.3
The Value Function and Backward Recursion
74
6.4
Example: Exercising an American Option
76
6.5
Infinite Horizon: Contraction and Forward Recursion
79
6.6
Example: Optimal Stopping in Discrete Time
83
6.7
Exercises
85
6.8
References
85
7
Econometric Framework for the Search Model
87
7.1
The Search Model
87
7.2
Likelihood: General Considerations
89
7.3
Likelihood: Specifics for Wage Data
94
7.3.1
Wage Data Alone
—
One Parameter
96
7.3.2
Wage Data—Two Parameters
97
7.3.3
Wage Data Alone
—
Offer Arrival Probability
99
7.4
Likelihood: Wage and Duration Data
100
7.4.1
Wage and Duration Data
—
Two Parameters
100
7.4.2
Wage and Duration Data
—
Three Parameters
102
7.4.3
Wage and Duration Data
—
Gamma Distribution
104
7.5
Exercises
107
7.6
References
108
8
Exact Distribution Theory for the Job Search Model
109
8.1
Introduction
109
8.2
The Prototypal Search Model
110
8.3
Alternative Economic Parametrizations
115
8.4
Models for Joint Wage and Duration Data
122
8.5
Conclusion
127
8.6
Exercises
128
8.7
References
128
9
Measurement Error in the Prototypal Job Search Model
129
9.1
Introduction
129
9.2
The Prototypal Search Model
130
9.3
The Prototypal Model with Measurement Errors
132
9.4
Characterizing the Distribution of Measurement Errors
134
9.5
Estimation in the Prototypal Model with Measurement Errors
136
CONTENTS
¡χ
9.6 Application
to the SIPP Data Set
139
9.7
Conclusions
146
9.8
Exercises
146
9.9
References
147
10
Asset Markets
148
10.1
Introduction
148
10.2
General Asset Pricing
148
10.3
The Term Structure of Interest Rates
150
10.4
Forward Contracts
154
10.5
Futures Contracts
156
10.6
Introduction to Options
160
10.7
The Binomial Method
162
10.8
Empirical Applications
166
10.8.1
Time Series Properties
167
10.8.2
Portfolio Models
174
10.8.3
Time-Varying Volatility
181
10.8.4
Term Structure Analysis
184
10.9
Exercises
191
10.10
References
191
11
Financial Options
192
11.1
Introduction
192
192
194
196
199
205
208
212
212
213
213
213
216
221
224
232
236
240
242
243
13
Continuous States and Controls
244
13.1
Introduction
244
13.2
The Linear-Quadratic Model: Finite Horizon
245
13.2.1
An Application:
Macroeconomic
Control
247
13.2.2
Rational Expectations
248
11.2
Financial Option Exercise and Job Search
11.3
Multiple Finite-Horizon Options
11.4
Markov Stock Prices
11.5
Value Functions for American Options
11.6
Option Price Data
11.7
Testing Option Market Efficiency
11.8
Exercises
11.9
References
12
Retirement
12.1
Introduction
12.2
A Simple Retirement Model
12.3
The Likelihood Function
12.4
Longitudinal Data
12.5
Regularizing the Likelihood
12.6
Generalizations
12.7
Alternative Models
12.8
Application: The Joint Retirement of Married Couples
12.9
Exercises 4k
12.10
References
χ
CONTENTS
13.3
The Linear-Quadratic Model:
Infinite
Horizon
249
13.3.1
Application: Macro Policy with Rational Expectations
250
13.4
Estimation of Linear-Quadratic Models
251
13.4.1
The Curse of Degeneracy
251
13.4.2
Sources of Noise
251
13.4.3
Measurement Error
253
13.4.4
Imperfect Control
253
13.4.5
Random Utility
254
13.5
The General (Non-LQ) Case
256
13.6
Smoothness:
Euler
Equations
260
13.7
Discussion and Examples
261
13.8
Random Utility in the General Case
264
13.9
Exercises
264
13.10
References
265
14
Continuous-Time Models
266
14.1
Introduction
266
14.2
Optimal Stopping in Continuous Time
269
14.3
A Jump Process Application: Allocation of Time over Time
270
14.4
Dynamic Consumption and Portfolio Choice
274
14.5
Application: Changing Investment Opportunities
278
14.6
Derivatives, Hedging, and Arbitrage Pricing
281
14.7
Stochastic Volatility and Jumps
289
14.8
The Term Structure of Interest Rates in Continuous Time
298
14.9
Exercises
310
14.10
References
310
15
Microeconomic Applications
312
15.1
Introduction
312
15.2
Bus Engine Replacement
313
15.3
Aircraft Engine Maintenance
314
15.4
Medical Treatment and Absenteeism
316
15.5
Nuclear Power Plant Operation
317
15.6
Fertility and Child Mortality
319
15.7
Costs of Price Adjustment
320
15.8
Schooling, Work, and Occupational Choice
322
15.9
Renewal of Patents
323
15.10
Marketing
—
Direct Mailing of Catalogs
3 24
15.11
Scrapping Subsidies and Automobile Purchases
326
15.12
On-the-Job Search and the Wage Distribution
327
15.13
Exercises
329
15.14
References
330
16
Macroeconomic
Applications
331
16.1
Consumption as a Random Walk
331
16.2
Consumption and Asset Returns
333
16.3
Dynamic Labor Demand
334
16.4
Time Inconsistency of Optimal Plans
336
CONTENTS
16.5
Time to Build
16.6
Nonseparable Utility
16.7
Preferences of Monetary Authorities
16.8
Dynamic Labor Supply
16.9
Effects of U.S. Farm Subsidies
16.10
Exercises
16.11
References
XI
338
339
341
342
345
346
346
17
Finance Application: Futures Hedging
347
17.1
Hedging Strategies
347
350
353
359
359
360
360
361
362
363
365
369
376
376
19
Dynamic Equilibrium: The Search Model
377
19.1
Introduction
377
19.2
Homogeneous Equilibrium Search
378
19.3
Data Distribution and Likelihood
383
19.4
Panels with Partially Missing Observations
389
19.4.1
The Contribution of Unemployment Duration
390
19.4.2
The Contribution of Wages
390
19.4.3
The Contribution of Employment Duration
392
19.4.4
A Numerical Example
394
19.5
Geometric Information Decomposition
395
19.5.1
Destination State Information
400
19.6
Data and Summary Statistics
403
19.7
Empirical Results
406
19.8
Conclusion
414
19.9
Exercises
415
19.10
References
415
20
Dynamic Equilibrium: Search Equilibrium Extensions
416
20.1
Introduction
416
20.2
Measurement Error in Wages
416
20.3
Heterogeneity in Productivity: The Discrete Case
420
20.4
Heterogeneity in Productivity: The Continuous Case
424
20.5
Conclusion
429
17.2
Self-Financing Trading Stral
17.3
Estimation
17.4
Exercises
17.5
References
18
Intertemporal
Asset Pricing
18.1
Introduction
18.2
Prices and Returns
18.3
Capital Asset Pricing Model
18.4
Estimation
18.5
A Structural Model
18.6
Asset Pricing Puzzles
18.7
Exercises
18.8
References
X¡¡
CONTENTS
20.6
Exercises
429
20.7
References
429
Appendix: Brief Review of Statistical Theory
431
A.
1
Introduction
431
A.2 Exponential Families
432
A.3 Maximum Likelihood
434
A.4 Classical Theory of Testing
437
References
441
Index
469 |
| any_adam_object | 1 |
| author | Christensen, Bent Jesper Kiefer, Nicholas M. 1951-2024 |
| author_GND | (DE-588)170821897 (DE-588)139336346 |
| author_facet | Christensen, Bent Jesper Kiefer, Nicholas M. 1951-2024 |
| author_role | aut aut |
| author_sort | Christensen, Bent Jesper |
| author_variant | b j c bj bjc n m k nm nmk |
| building | Verbundindex |
| bvnumber | BV035324889 |
| callnumber-first | H - Social Science |
| callnumber-label | HB141 |
| callnumber-raw | HB141 |
| callnumber-search | HB141 |
| callnumber-sort | HB 3141 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QH 300 |
| ctrlnum | (OCoLC)245021941 (DE-599)BVBBV035324889 |
| dewey-full | 330.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.01/5195 |
| dewey-search | 330.01/5195 |
| dewey-sort | 3330.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035324889 |
| illustrated | Illustrated |
| indexdate | 2025-02-11T09:01:57Z |
| institution | BVB |
| isbn | 9780691120591 |
| language | English |
| lccn | 2008037100 |
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| owner_facet | DE-384 DE-19 DE-BY-UBM DE-703 DE-355 DE-BY-UBR DE-634 DE-M382 DE-945 DE-2070s DE-11 DE-188 DE-83 DE-Re13 DE-BY-UBR |
| physical | XIV, 482 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Princeton Univ. Press |
| record_format | marc |
| spelling | Christensen, Bent Jesper Verfasser (DE-588)170821897 aut Economic modeling and inference Bent Jesper Christensen and Nicholas M. Kiefer Princeton, NJ [u.a.] Princeton Univ. Press 2009 XIV, 482 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. [441] - 467 Mathematisches Modell Wirtschaft Ökonometrisches Modell Econometric models Economics Statistical methods Economics Mathematical models Dynamische Optimierung (DE-588)4125677-3 gnd rswk-swf Wirtschaftstheorie (DE-588)4079351-5 gnd rswk-swf Stochastische dynamische Optimierung (DE-588)4183372-7 gnd rswk-swf Inferenzstatistik (DE-588)4247120-5 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Stochastische dynamische Optimierung (DE-588)4183372-7 s Wirtschaftstheorie (DE-588)4079351-5 s Dynamische Optimierung (DE-588)4125677-3 s Inferenzstatistik (DE-588)4247120-5 s DE-188 Kiefer, Nicholas M. 1951-2024 Verfasser (DE-588)139336346 aut Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017129405&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Christensen, Bent Jesper Kiefer, Nicholas M. 1951-2024 Economic modeling and inference Mathematisches Modell Wirtschaft Ökonometrisches Modell Econometric models Economics Statistical methods Economics Mathematical models Dynamische Optimierung (DE-588)4125677-3 gnd Wirtschaftstheorie (DE-588)4079351-5 gnd Stochastische dynamische Optimierung (DE-588)4183372-7 gnd Inferenzstatistik (DE-588)4247120-5 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4125677-3 (DE-588)4079351-5 (DE-588)4183372-7 (DE-588)4247120-5 (DE-588)4043212-9 |
| title | Economic modeling and inference |
| title_auth | Economic modeling and inference |
| title_exact_search | Economic modeling and inference |
| title_full | Economic modeling and inference Bent Jesper Christensen and Nicholas M. Kiefer |
| title_fullStr | Economic modeling and inference Bent Jesper Christensen and Nicholas M. Kiefer |
| title_full_unstemmed | Economic modeling and inference Bent Jesper Christensen and Nicholas M. Kiefer |
| title_short | Economic modeling and inference |
| title_sort | economic modeling and inference |
| topic | Mathematisches Modell Wirtschaft Ökonometrisches Modell Econometric models Economics Statistical methods Economics Mathematical models Dynamische Optimierung (DE-588)4125677-3 gnd Wirtschaftstheorie (DE-588)4079351-5 gnd Stochastische dynamische Optimierung (DE-588)4183372-7 gnd Inferenzstatistik (DE-588)4247120-5 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Mathematisches Modell Wirtschaft Ökonometrisches Modell Econometric models Economics Statistical methods Economics Mathematical models Dynamische Optimierung Wirtschaftstheorie Stochastische dynamische Optimierung Inferenzstatistik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017129405&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT christensenbentjesper economicmodelingandinference AT kiefernicholasm economicmodelingandinference |