Judd Lecture Materials

ZICE15Intro is my standard introductory talk at ZICE; see ZICE15.

The SJ papers are versions of the Su-Judd paper on MPEC, a small piece of which was published in Econometrica as a note.

“Nested” is a short note on the nested fixed-point method for constrained optimization. Computational mathematicians call this method “implicit programming.”

Rust-I-S compares NFXP and MPEC. They show that it is better to use a pre-conditioned and numerically stable specification for the dynamic programming equations in NFXP than to use an ill-conditioned and numerically unstable specification for the dynamic programming equations in MPEC.

Much more material can be obtained at ICE webpage. ICE was a series of workshops from 2005 through 2012 on numerical methods in general. The website contains many lecture notes and some examples of code for structural estimation. There are some broken links because the University of Chicago no longer maintains that website. I am trying to restore it, but that will not happen until this fall.