Syllabus and Reading List (pdf)
Lecture 2: September 6, 2007 Lecture 3: September 11, 2007 Lecture 4: September 13, 2007 Lecture 5: September 18, 2007 Lecture 6: September 20, 2007 Lecture 7: September 25, 2007 Sampling Plans and Weighting Lecture 8: September 27, 2007 Sampling Plans (part 2) Lecture 9: October 2, 2007 Normal error sample selection model Lecture 10: October 4, 2007 Choiced Based Sampling and Manski Lerman Weighted Estimator Lectures 11-14: October 9 - October 25, 2007 on Panel DataAdvantages of Panel Data Panel Estimators GMM and Dynamic Linear Panel Models Sequential Moment RestrictionsLectures on Structural EstimationBasics on Estimation of Markov Decision Process Lecture on Rust and Phelan (1997) Lecture on Imai and Keane (2004) Aguirregarbiria and Mira (2002) Aguirregarbiria and Mira (2007) Mira (2007)Problem Sets
Problem Set 1: (Due October 11, 2007).Files needed: Mroz data file (mroz.dat) (ascii) Mroz documentation (Listed as mroz.doc in problem set.) Answers to Mroz problem set. (MS Word)Problem Set 2: Due October 23, 2007)Data file (ascii) Answer key. (pdf) Do file to compute Wooldridge estimator of components (ascii) Log file produced by ps2.do (ascii)Problem Set 3 (On Skewed Logisitc) Problem Set 4 Dynamic Discrete ChoiceData Generating program (Windows Executable)Readings
Aguirregabiria and Mira (2002) Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models Aguirregabiria and Mira (2007) Sequential Estimation of Dynamic Discrete Games C. Carroll (2006) Lecture Notes on Solution Methods for Microeconomic Dynamic Stochastic Optimazation Problems Eckstein and Wolpin (1989) The Specification and Estimation of Dynamic Stochastic Discrete Choice Models a Survey French (2004) The Effects of Health, Wealth, and Wages on Labor Supply and Retirement Behavior Imai and Keane (2004) Intertemporal Labor Supply and Human Capital Accumulation B. Hansen's Draft Econometrics Textbook Heckman (1981) Heterogeneity and State Dependence Hotz and Miller (1993) Conditional Choice Probabilities and the Estimation of Dynamic Models Keane and Wolpin (1994) The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpolation: Monte Carlo Evidence Mira (2007) Uncertain Infant Mortality, Learning and Life-Cycle Fertility S. Pudney (1989) Chapter 2 Rust and Phelan (1997) How Social Security and Medicare Affect Retirement Behavior in a World of Incomplete Markets Rust (1994) Structural Estimation of Markov Decision Processes Rust (1996) Numerical Dynamic Programming in EconomicsNotes and Programs
Check list for Empirical Research (pdf) FORTRAN90 Program of NPL and NFXP Estimators on Toy ProblemDate Last Revised: December 6, 2007