Structural Estimation

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Structural Estimation – Judd 2011

Below are papers and notes on numerical issues related to structural estimation.

Su and Judd introduce the MPEC approach.

Skrainka and Judd introduce quadrature methods that substantially dominate Monte Carlo in BLP models.

Michelangeli’s paper is a very nice application applying the MPEC approach to a problem where the dynamic programming problem has a continuous state space.