Ebook: Economic Modeling and Inference

"Christensen and Kiefer's excellent book shows how careful dynamic theory and econometrics go hand in hand, opening up new vistas in the areas of search theory, finance, and macroeconomics."--Tom Sargent, New York University and the Hoover Institution "There is no other book that mixes dynamic economic theory, statistical inference, and real quantitative applications like this one. Christensen and Kiefer will challenge the top tier of students and take them to the research frontier."--Robert Lucas, University of Chicago "Dynamic programming is an organizing framework that has enabled economists to integrate economic theory with empirical analysis. Few textbooks reflect the integrated nature of contemporary research, but Christensen and Kiefer reveal the power of the dynamic programming approach in a wide variety of applications from job search to portfolio choice. Their new book will be invaluable to students who wish to participate in this exciting enterprise."--John Y. Campbell, Harvard University "The authors do a splendid job of showing how to use stochastic dynamic optimization techniques to generate the implied distributions of observables needed for estimation. There are many interesting and useful examples included in the book, ranging from applications of the theory of job search to those of asset pricing theory. This book should be a reference for anyone interested in using dynamic economic models to make inferences about the world we observe."--Dale Mortensen, Aarhus University, Denmark, and Northwestern University "An extremely ambitious and thought-provoking book, one that combines state-of-the-art economic theory with sophisticated econometric techniques. The dynamic programming framework brings together important results and recent developments in a unique, unified way. The book is sure to inspire many PhD students and empirically oriented researchers for years to come."--Tim Bollerslev, Duke University "I have been looking for a book like this for quite a while. Economic Modeling and Inference is written for those who want to do applied work and actually apply this to real-life data or run simulations. This much-needed book fills a void. It is certainly a significant contribution to the field."--Yaw Nyarko, New York University "Economic Modeling and Inference blends economic theory and statistical inference in a seamless fashion. Every dynamic decision model is discussed with an eye for it to be fit with economic data. Every econometric inference tool is developed for the purpose of testing economic decision models. This book is long overdue. It will influence and benefit young economists for generations to come."--Mark Y. An, Fannie Mae