The course covers identification and estimation of stochastic dynamic programming models. Sources of error (measurement error, imperfect control, random utility) are treated. Applications are drawn from macroeconomics, labor, finance, marketing, and applied microeconomics. The lectures include occasional discussions of exercises.
Course subject areas: - Stochastic dynamic programming in discrete and continuous time- Estimation of dynamic programming models by maximum likelihood and GMM- Measurement error, imperfect control, random utility- Finite and infinite horizon, discrete and continuous states and controls- Macroeconomic applications: Consumption, labor demand and supply, asset pricing, time to build, time inconsistency of optimal plans, money- Labor applications: Job search, retirement, wage distribution, unemployment, absenteeism, schooling and occupational choice- Finance applications: Option pricing, portfolio choice, hedging, asset allocation, term structure analysis, stochastic volatility and jumps, volatility forecasting- Marketing applications: Advertising campaigns, cost of price adjustments, direct mailing of catalogs, purchase histories- Microeconomic applications: Patents, engine maintenance and replacement, fertility and child mortality, scrapping subsidies- Econometrics: Cross-section, time series, and panel data methods
Period
22-08-2011 - 26-08-2011 (1 weeks)
Target group
3620 Econometrics
Course aim
After completion of the course, it is expected that the student can: - explain the general modeling techniques presented in the course and apply them to specific problems similar to those studied in the course- explain how the results in the specific models are derived- provide and discuss economic interpretations of the models and the results- evaluate and compare the assumptions and results of different models
Credits
5.0 ECTS credits
Course fee
EUR 0. Visit website for information regarding fees
Course leader
Bent Jesper Christensen
Aarhus University International Centre
Address: Hoeg Guldbergs Gade 4, building 1650 Aarhus C
Postal code: 8000
City: Aarhus
Country: Denmark
Website: http://www.au.dk/summeruniversity
E-mail: SummerUniversity@adm.au.dk
Phone: +45 8942 2320
Economic Modeling and Inference
