6302: Economic Modeling and Inference ( efterår 2010 - 5 ECTS )
Rammer for udbud
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Uddannelsessprog:
engelsk
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Niveau:
Elective MSc/IMSQE/PhD course
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Semester/kvarter:
Summer school, intensive one-week course from 9 - 13 August, 2010 (in 036/1325)
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Timer per uge:
20 hours of lectures/exercises in one week
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Deltagerbegrænsning:
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Undervisningssted:
Århus
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Hovedområde:
Det Samfundsvidenskabelige Fakultet
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Udbud ID:
26165
Formål
After completion of the course, it is expected that the student can:
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explain the general modeling techniques presented in the course and apply them to specific problems similar to those studied in the course
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explain how the results in the specific models are derived
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provide and discuss economic interpretations of the models and the results
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evaluate and compare the assumptions and results of different models
Indhold
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:
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Stochastic dynamic programming in discrete and continuous time
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Estimation of dynamic programming models by maximum likelihood and GMM
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Measurement error, imperfect control, random utility
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Finite and infinite horizon, discrete and continuous states and controls
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Macroeconomic applications: Consumption, labor demand and supply, asset pricing, time to build, time inconsistency of optimal plans, money
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Labor applications: Job search, retirement, wage distribution, unemployment, absenteeism, schooling and occupational choice
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Finance applications: Option pricing, portfolio choice, hedging, asset allocation, term structure analysis, stochastic volatility and jumps, volatility forecasting
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Marketing applications: Advertising campaigns, cost of price adjustments, direct mailing of catalogs, purchase histories
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Microeconomic applications: Patents, engine maintenance and replacement, fertility and child mortality, scrapping subsidies
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Econometrics: Cross-section, time series, and panel data methods
Faglige forudsætninger
3620 Econometrics
Underviser
Bent Jesper Christensen
Undervisnings- og arbejdsform
Lectures and exercises
Litteratur
Bedømmelse
Form of assessment: Take-home exam
Examination aids allowed: All
