10am – noon: Introduction
Speaker: Toni Whited, University of Michigan
Topics:
– What is structural estimation?
– What does structural estimation buy you? When is it needed?
– Motivating a structural estimation paper
Noon– 1pm: Buffet Lunch
1pm – 3pm: Solving Models (Part 1)
Speaker: Stephen Terry, Boston University
Topics:
– Discrete-time dynamic programming
– Value function iteration
– Simulation
3pm – 3:10pm: Afternoon Break
3:10pm – 6:30pm: Project Part 1
6:30pm – 8:30pm: Welcome Reception & Dinner
Participants will work on the first part of the project. The goal for day one is to numerically solve the model and describe the optimal policies. Faculty and assistants will be on hand to help.
8:30pm – late: More work on the project + refreshments
Day 2 – Wednesday, June 14, 2023
8:30am – 9:30am: Continental Breakfast
9:30am – 11:30am: Solving Models (Part 2)
Speaker: Stephen Terry, Boston University
Topics:
– Advanced topics on dynamic programming
– Efficient computing
11:30am – noon: Project check-in
Speaker: Stephen Terry, Boston University
We will use these check-in sessions to present a solution to the previous day’s work, discuss challenges people had, and show some tricks of the trade. We will also use these sessions to present a set of solution code. By the end of the week, participants will have not only their own code but also this set of solution code that can be adapted for future projects.
Noon– 1pm: Buffet Lunch
1pm – 3pm: Simulation Estimators (Part 1)
Speaker: Toni Whited
Topics:
– SMM algorithm
– Assessing model fit
– Heterogeneity
– Searching the parameter space
– Identification challenges
3pm – 3:10pm: Afternoon Break
3:10pm – 6:30pm: Project Part 2
The goal for day two is to develop an identification strategy, choose moments, and write code for computing the moments in both the actual and simulated data.
6:30pm – 8:30pm: Dinner (on your own)
8:30pm – late: More work on project
Day 3 – Thursday, June 15, 2023
8:30am – 9:30am: Continental Breakfast
9:30am – 10:00am: Project check-in
Speaker: Luke Taylor
10am – noon: Simulation Estimators (Part 2)
Speaker: Toni Whited
Topics / Goals
– Practical advice
– Introduction to weight matrices
– Influence functions
– Getting the standard errors right
Noon– 1pm: Buffet Lunch
1pm – 3 pm: Simulation Estimators (Part 3)
Speaker: Toni Whited
Topics / Goals
– Discussion of applied papers
3pm – 3:10pm: Afternoon Break
3:10pm – 6:30pm: Project Part 3
The goal for day three will be to estimate the covariance matrix of empirical moments using influence functions, compute the optimal weight matrix, and start coding up the SMM estimator.
6:30pm – 8:30pm: Dinner (on your own)
8:30pm – Late: work on project
Day 4 – Friday, June 16, 2023
8:30am – 9:30am: Continental Breakfast
9:30am – 11:30am: Literature Review
Speaker: Luke Taylor
We will start with a broad review of the literature, and then we’ll do an in-depth discussion of a few papers. The goals will be to understand what has already been done, why structural estimation is needed in these papers, and how to best position a structural estimation paper.
11:30am – 12:30pm: Project wrap up
Speaker: Luke Taylor
12:30pm– 1:30pm: Buffet Lunch
1:30pm – 4:30pm: Project part 4
Goals: Finish coding up the SMM estimator, using simulated annealing to search the parameter space. Also code up the test of over-identifying restrictions and counterfactual analyses.