Integrating Structural and Reduced-Form Methods in Empirical Finance
讨论了五种将简约形式估计与结构估计相结合的方法，并用公司金融、银行和个人金融的例子加以说明，最后探讨了稳健估计技术在结构估计中的作用。
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. I conclude by exploring the role of robust estimation techniques in structural estimation in corporate finance.