Structural Econometrics

3 Credits · Level: Graduate

This course will focus on the empirical estimation of dynamic programming (DP) and equilibrium models. It will present state of the art methods for solving and simulating DP models and estimating them econometrically. The course will also provide many empirical applications to illustrate how these tools and methods are used in practice. In addition, the course will examine the formulation and solution of dynamic equilibrium models and dynamic games and provide state of the art algorithms for finding equilibria and simulating and estimating such models. It will also discuss a growing line of research on behavioural models and ways to deal with some of the limitations of models of "full rationality”. These include the curse of dimensionality, the identification problem, and the problem of multiplicity of equilibria.