Dynamic Models and Structural Estimation in Corporate Finance
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Dynamic Models and Structural Estimation in Corporate Finance has three goals: ¿ To explain the models and techniques used in this literature as simply as possible, with the intent of making the literature more accessible. ¿ To introduce the reader to the main strands of this literature. This monograph can therefore be viewed in part as a literature review and in part as a tutorial. ¿ To explain how dynamic models can be taken to the data and be estimated with the intent to provide a practical, hands-on guide to three specific methodologies that have been used in the literature: generalized...
Dynamic Models and Structural Estimation in Corporate Finance has three goals: ¿ To explain the models and techniques used in this literature as simply as possible, with the intent of making the literature more accessible. ¿ To introduce the reader to the main strands of this literature. This monograph can therefore be viewed in part as a literature review and in part as a tutorial. ¿ To explain how dynamic models can be taken to the data and be estimated with the intent to provide a practical, hands-on guide to three specific methodologies that have been used in the literature: generalized method of moments, simulated method of moments, and maximum simulated likelihood. Dynamic Models and Structural Estimation in Corporate Finance provides a concise guide to the extant structural estimation literature in corporate finance. Following an introduction, Section 2 provides an overview of dynamic corporate finance models based on techniques developed in the continuous time contingent claims literature. Section 3 covers a separate strand of the literature that stems discrete time investment models. Section 4 reviews the relatively small number of different econometric techniques that have been used to estimate these models, as well as the studies that have used them. The authors close with a brief overview of directions for future research.
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