Models of dynamic choice under uncertainty now pervade economics, thanks in large part to the availability of dynamic programming tools for their analysis and the training of a generation of economists to use these tools. This book distinguishes itself from most on dynamic programming by covering theoretical and econometric issues jointly. Christensen and Kiefer motivate this approach convincingly. The job of empirical economics is to extract and organize useful information from economic data; they argue that to this end, models of optimizing behavior and statistical methods complement each other. Economic theory adds structure by ruling out choices that are not in the best interest of the decision maker; likelihood-based econometrics uses the model to separate "sufficient" data information from the chaff. Material throughout the book illustrates the benefits of this joint approach.
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