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Overview | |
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Theory | |
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Theory of Dynamic Programming | |
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Overview | |
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Indirect Utility | |
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Consumers | |
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Firms | |
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Dynamic Optimization: A Cake-Eating Example | |
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Direct Attack | |
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Dynamic Programming Approach | |
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Some Extensions of the Cake-Eating Problem | |
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Infinite Horizon | |
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Taste Shocks | |
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Discrete Choice | |
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General Formulation | |
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Nonstochastic Case | |
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Stochastic Dynamic Programming | |
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Conclusion | |
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Numerical Analysis | |
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Overview | |
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Stochastic Cake-Eating Problem | |
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Value Function Iterations | |
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Policy Function Iterations | |
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Projection Methods | |
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Stochastic Discrete Cake-Eating Problem | |
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Value Function Iterations | |
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Extensions and Conclusion | |
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Larger State Spaces | |
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Appendix: Additional Numerical Tools | |
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Interpolation Methods | |
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Numerical Integration | |
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How to Simulate the Model | |
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Econometrics | |
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Overview | |
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Some Illustrative Examples | |
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Coin Flipping | |
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Supply and Demand Revisited | |
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Estimation Methods and Asymptotic Properties | |
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Generalized Method of Moments | |
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Maximum Likelihood | |
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Simulation-Based Methods | |
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Conclusion | |
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Applications | |
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Stochastic Growth | |
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Overview | |
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Nonstochastic Growth Model | |
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An Example | |
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Numerical Analysis | |
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Stochastic Growth Model | |
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Environment | |
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Bellman's Equation | |
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Solution Methods | |
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Decentralization | |
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A Stochastic Growth Model with Endogenous Labor Supply | |
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Planner's Dynamic Programming Problem | |
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Numerical Analysis | |
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Confronting the Data | |
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Moments | |
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GMM | |
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Indirect Inference | |
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Maximum Likelihood Estimation | |
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Some Extensions | |
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Technological Complementarities | |
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Multiple Sectors | |
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Taste Shocks | |
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Taxes | |
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Conclusion | |
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Consumption | |
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Overview and Motivation | |
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Two-Period Problem | |
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Basic Problem | |
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Stochastic Income | |
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Portfolio Choice | |
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Borrowing Restrictions | |
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Infinite Horizon Formulation: Theory and Empirical Evidence | |
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Bellman's Equation for the Infinite Horizon Problem | |
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Stochastic Income | |
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Stochastic Returns: Portfolio Choice | |
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Endogenous Labor Supply | |
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Borrowing Constraints | |
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Consumption over the Life Cycle | |
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Conclusion | |
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Durable Consumption | |
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Motivation | |
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Permanent Income Hypothesis Model of Durable Expenditures | |
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Theory | |
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Estimation of a Quadratic Utility Specification | |
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Quadratic Adjustment Costs | |
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Nonconvex Adjustment Costs | |
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General Setting | |
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Irreversibility and Durable Purchases | |
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A Dynamic Discrete Choice Model | |
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Investment | |
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Overview and Motivation | |
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General Problem | |
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No Adjustment Costs | |
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Convex Adjustment Costs | |
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Q Theory: Models | |
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Q Theory: Evidence | |
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Euler Equation Estimation | |
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Borrowing Restrictions | |
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Nonconvex Adjustment: Theory | |
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Nonconvex Adjustment Costs | |
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Irreversibility | |
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Estimation of a Rich Model of Adjustment Costs | |
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General Model | |
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Maximum Likelihood Estimation | |
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Conclusion | |
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Dynamics of Employment Adjustment | |
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Motivation | |
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General Model of Dynamic Labor Demand | |
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Quadratic Adjustment Costs | |
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Richer Models of Adjustment | |
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Piecewise Linear Adjustment Costs | |
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Nonconvex Adjustment Costs | |
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Asymmetries | |
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The Gap Approach | |
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Partial Adjustment Model | |
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Measuring the Target and the Gap | |
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Estimation of a Rich Model of Adjustment Costs | |
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Conclusion | |
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Future Developments | |
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Overview and Motivation | |
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Price Setting | |
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Optimization Problem | |
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Evidence on Magazine Prices | |
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Aggregate Implications | |
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Optimal Inventory Policy | |
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Inventories and the Production-Smoothing Model | |
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Prices and Inventory Adjustment | |
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Capital and Labor | |
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Technological Complementarities: Equilibrium Analysis | |
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Search Models | |
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A Simple Labor Search Model | |
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Estimation of the Labor Search Model | |
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Extensions | |
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Conclusion | |
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Bibliography | |
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Index | |