PENN STATE 2019 – NUMERICAL METHODS BY KEN JUDD
Solving super games
Structural Estimation: NFXP vs MPEC
Che-Lin Su Presentations
Evolution of Su-Judd
Here are the four versions of Su-Judd, leading to the 2012 Econometrica paper.
- 2007 SJMaxLikNov07.pdf
- 2008 SJ Original submission.pdf
- 2010 SJ First Revision.pdf
- 2012 SuJudd_ECTA2012.pdf
Valentina Michelangeli wrote an excellent dissertation using MPEC to estimate a DP life cycle problem with both continuous and discrete decisions. Below are the papers.
- Valentina Michelangeli_Dissertation.pdf
- Valentina Michelangeli_IFS_slides.pdf
The perils of simulation methods
We first examine the performance of simulation methods for a simple portfolio problem.
Second, we examine a simple estimation problem. We find that simulation methods are unreliable.