Economic Modeling and Inference (eBook)

Bent Jesper Christensen, Nicholas M. Kiefer (Autoren)

eBook Download: PDF

2021
488 Seiten
Princeton University Press (Verlag)
978-1-4008-3310-8 (ISBN)

Infos

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

Produkt-Details

• Erscheint lt. Verlag: 13.7.2021
• Zusatzinfo: 19 line illus. 21 tables.
• Sprache: englisch
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: actions • Aggregate income • ancillarity • annealing • Arbitrage • Asset Allocation • Asymmetric information • Asymptotic Distribution • asymptotics • autocorrelation • Autoregressive conditional heteroskedasticity • Autoregressive–moving-average model • auxiliary model • average reward • Backwardation • baseline hazard • Bayes estimate • bellman equation • Bimodality • bipower variation • Bond • Brownian motion • budget constraint • Business Cycle • Calculation • Capital asset • Capital Asset Pricing Model • CAPM • Cash Flow • Censoring • Competitive equilibrium • Complexity • Compounding • concavity • consistent drift condition • consumption • continuation region • contraction mapping theorem • Convenience Yield • Current Income • debt-equity ratio • Decision Theory • Degeneracy • Delivery • Demand curve • Derivative (finance) • discount function • Dynamic Programming • Econometric model • Econometrics • economic data • Economic equilibrium • Economic Policy • Economics • economist • Efficiency • electricity • Employment • Encompassing • Endogeneity (econometrics) • Equity Premium Puzzle • estimation • Estimation theory • Estimator • Euler equations • exchange economy • Expectations hypothesis • Expected Utility • Expected utility hypothesis • Factor Analysis • Factor Loading • Feller Property • Filtering problem (stochastic processes) • Financial Economics • Fiscal Policy • Forward price • Fourier frequency • General Equilibrium Theory • Growth Model • hazard function • Heavy-tailed distribution • Hedge (finance) • Hedging • inference • instrumental variable • Interest Rate • interest rate risk • intertemporal substitution • Labour Economics • Leverage (finance) • Likelihood Function • Likelihood-ratio test • Logistic Regression • Loss Function • Macroeconomic factor • Macroeconomic model • Macroeconomics • Marginal cost • marginal utility • market analysis • market capitalization • Market Data • Market (economics) • market liquidity • market portfolio • Market power • Market Price • market risk premium • Market Value • Markov Chain • Markov process • Martingale (probability theory) • Mathematical Optimization • Modern Portfolio Theory • monetary authority • monetary policy • Money market account • Nominal interest rate • Observational error • Option value (cost–benefit analysis) • order statistic • Parameter • Pareto Efficiency • Preference (economics) • price change • Price Fixing • price level • Probability • Probit Model • Production Function • Profit (economics) • Queueing Theory • Real business-cycle theory • Real options valuation • Risk Premium • state variable • stochastic differential equation • Structural estimation • Supply (economics) • Technical progress (economics) • Terminal value (finance) • Trading Strategy • Unemployment • Utility • Utility maximization problem • Valuation (finance) • Weighted arithmetic mean • Yield Curve
• ISBN-10: 1-4008-3310-8 / 1400833108
• ISBN-13: 978-1-4008-3310-8 / 9781400833108