Dynamic Models and Structural Estimation in Corporate Finance has
three goals: (1) To explain the models and techniques used in this
literature as simply as possible, with the intent of making the
literature more accessible. (2) 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. (3) 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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