Integrating Structural and Reduced-Form Methods in Empirical Finance

Toni Whited

Papers from arXiv.org

Abstract: I discuss various ways in which inference based on the estimation of the parameters of statistical models (reduced-form estimation) can be combined with inference based on the estimation of the parameters of economic models (structural estimation). I discuss five basic categories of integration: directly combining the two methods, using statistical models to simplify structural estimation, using structural estimation to extend the validity of reduced-form results, using reduced-form techniques to assess the external validity of structural estimations, and using structural estimation as a sample selection remedy. I illustrate each of these methods with examples from corporate finance, banking, and personal finance.

Date: 2022-05
New Economics Papers: this item is included in nep-ecm
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http://arxiv.org/pdf/2205.01175 Latest version (application/pdf)

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Journal Article: Integrating Structural and Reduced-Form Methods in Empirical Finance* (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2205.01175

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