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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

Quantitative methods (economics) --- Econometric models --- Economics --- Statistical methods --- Mathematical models --- AA / International- internationaal --- 330.3 --- 303.6 --- 305.971 --- -Economics --- -330.015195 --- Economic theory --- Political economy --- Social sciences --- Economic man --- Econometrics --- Methode in staathuishoudkunde. Statische, dynamische economie. Modellen. Experimental economics. --- Raming : theorie (wiskundige statistiek). Bayesian analysis and inference. --- Speciale gevallen in econometrische modelbouw. --- Econometric models. --- Modèles économétriques. --- Économie politique --- Statistical methods. --- Mathematical models. --- Méthodes statistiques. --- Modèles mathématiques. --- Modèles mathématiques --- 330.015195 --- Economic statistics --- Economics, Mathematical --- Raming : theorie (wiskundige statistiek). Bayesian analysis and inference --- Speciale gevallen in econometrische modelbouw --- Methode in staathuishoudkunde. Statische, dynamische economie. Modellen. Experimental economics --- BUSINESS & ECONOMICS / Econometrics. --- Bayes estimate. --- Bellman equation. --- Brownian motion. --- CAPM. --- Euler equations. --- Feller Property. --- Fourier frequency. --- actions. --- ancillarity. --- annealing. --- arbitrage. --- asset allocation. --- asymmetric information. --- asymptotics. --- autocorrelation. --- auxiliary model. --- average reward. --- backwardation. --- baseline hazard. --- bimodality. --- bipower variation. --- bond. --- budget constraint. --- business cycle. --- cash flow. --- censoring. --- complexity. --- compounding. --- concavity. --- consistent drift condition. --- consumption. --- continuation region. --- contraction mapping theorem. --- convenience yield. --- debt-equity ratio. --- degeneracy. --- delivery. --- discount function. --- dynamic programming. --- efficiency. --- electricity. --- employment. --- encompassing. --- expected utility. --- factor loading. --- fiscal policy. --- growth model. --- hazard function. --- heavy-tailed distribution. --- hedging. --- instrumental variable. --- intertemporal substitution. --- Econometrische analyse. --- Economische modellen. --- Economics - Statistical methods --- Economics - Mathematical models --- Modèles économétriques. --- Économie politique --- Méthodes statistiques. --- Modèles mathématiques --- Modèles mathématiques.