Dynamic Economics - Quantitative Methods and Applications

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1、DynamicEconomics:QuantitativeMethodsandApplicationsJ´erˆomeAddaandRussellCooperOctober25,2002ALanceArmstrong,notremaitre`atousContents1OVERVIEW1ITheory62TheoryofDynamicProgramming72.1Overview..................................72.2IndirectUtility..............................72.2.1Consum

2、ers.............................72.2.2Firms...............................92.3DynamicOptimization:ACakeEatingExample............102.3.1DirectAttack...........................102.3.2DynamicProgrammingApproach................132.4SomeExtensionsoftheCakeEatingProblem.............182.4.1In

3、finiteHorizon..........................182.4.2TasteShocks...........................242.4.3DiscreteChoice..........................262.5GeneralFormulation...........................282.5.1Non-StochasticCase.......................292.5.2StochasticDynamicProgramming................352.6Co

4、nclusion.................................37iiiiv3NumericalAnalysis393.1Overview..................................393.2StochasticCakeEatingProblem.....................403.2.1ValueFunctionIterations....................413.2.2PolicyFunctionIterations....................453.2.3ProjectionMe

5、thods........................463.3StochasticDiscreteCakeEatingProblem................513.3.1ValueFunctionIterations....................523.4ExtensionsandConclusion........................543.4.1LargerStateSpaces........................543.AAdditionalNumericalTools......................

6、.583.A.1InterpolationMethods......................583.A.2NumericalIntegration......................603.A.3HowtoSimulatetheModel...................644Econometrics664.1Overview..................................664.2SomeIllustrativeExamples.......................674.2.1CoinFlipping.......

7、....................674.2.2SupplyandDemandRevisited..................794.3EstimationMethodsandAsymptoticProperties............854.3.1GeneralizedMethodofMoments................864.3.2MaximumLikelihood.......................904.3.3SimulationBasedMethods....................924.4Conclusi