Dynamic Economics Quantitative Methods and Applications.pdf

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1、ThispageintentionallyleftblankDynamicEconomicsThispageintentionallyleftblankDynamicEconomicsQuantitativeMethodsandApplicationsJe´roˆmeAddaandRussellCooperTheMITPressCambridge,MassachusettsLondon,England(2003MassachusettsInstituteofTechnologyAllrightsreserved.Nopartofthisbookmaybereproducedinanyfor

2、mbyanyelectronicormechanicalmeans(includingphotocopying,recording,orinformationstorageandretrieval)withoutpermissioninwritingfromthepublisher.ThisbookwassetinPalatinoon3B2byAscoTypesetters,HongKong,andwasprintedandboundintheUnitedStatesofAmerica.LibraryofCongressCataloging-in-PublicationDataAdda,J

3、e´roˆme.Dynamiceconomics:quantitativemethodsandapplications/Je´roˆmeAddaandRussellCooper.p.cm.Includesbibliographicalreferencesandindex.ISBN0-262-01201-4(hc.:alk.paper)1.Economics,Mathematical.2.Macroeconomics—Mathematicalmodes.3.Econometricmodels.I.Cooper,RussellW.,1955–II.Title.HB135.D9352003330

4、0.0105195—dc212003042126a`LanceArmstrong,notremaitrea`tousThispageintentionallyleftblankContents1Overview1ITheory2TheoryofDynamicProgramming72.1Overview72.2IndirectUtility72.2.1Consumers72.2.2Firms82.3DynamicOptimization:ACake-EatingExample92.3.1DirectAttack102.3.2DynamicProgrammingApproach122.4So

5、meExtensionsoftheCake-EatingProblem162.4.1InfiniteHorizon162.4.2TasteShocks202.4.3DiscreteChoice222.5GeneralFormulation242.5.1NonstochasticCase242.5.2StochasticDynamicProgramming292.6Conclusion313NumericalAnalysis333.1Overview333.2StochasticCake-EatingProblem343.2.1ValueFunctionIterations343.2.2Pol

6、icyFunctionIterations403.2.3ProjectionMethods413.3StochasticDiscreteCake-EatingProblem463.3.1ValueFunctionIterations47viiiContents3.4ExtensionsandConclusion503.4.1LargerStateSpaces503.5Appendix:AdditionalNumericalTools523.5.1InterpolationMethods523.5.2NumericalIntegration553.5.3HowtoSimulatetheMod

7、el594Econometrics614.1Overview614.2SomeIllustrativeExamples614.2.1CoinFlipping614.2.2SupplyandDemandRevisited744.3EstimationMethodsandAsymptoticProperties794.3.1GeneralizedMethodofMoments804.3.2MaximumLikelihood8