Economic modeling and inference /
Bent Jesper Christensen and Nicholas M. Kiefer.
- Princeton : Princeton University Press, c2009.
- xiv, 482 p. : ill. ; 24 cm.
Includes bibliographical references (p. [441]-467) and index.
Components of a dynamic programming model -- Discrete states and controls -- Likelihood functions for discrete state/control models -- Random utility models -- Continuous states, discrete controls -- Econometric framework for the search model -- Exact distribution theory for the job search model -- Measurement error in the prototypal job search model -- Asset markets -- Financial options -- Retirement -- Continuous states and controls -- Continuous-time models -- Microeconomic applications -- Macroeconomic applications -- Finance application: futures hedging -- Intertemporal asset pricing -- Dynamic equilibrium: the search model -- Dynamic equilibrium: search equilibrium extensions -- Appendix: Brief review of statistical theory.