You are here

Schedule

Day 1 - Monday, August 5, 2019

9am - 10am:  Registration & Breakfast

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:  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

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.

6:30pm - 8:30pm:  Break for dinner

8:30pm - late:  More work on the project + refreshments

Day 2 - Tuesday, August 6, 2019

9am - 9:30am: 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:  Luke Taylor, University of Pennsylvania

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 Matlab 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:  Lunch

1pm - 3pm:  Simulated Method of Moments Estimation (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

8:30pm - late:  More work on project + refreshments 

 


Day 3 - Wednesday, August 7, 2019

9am - 9:30am:  Breakfast

9:30am - 10:00am:  Project check-in

Speaker: Luke Taylor

10am - noon:  Simulated Method of Moments Estimation (Part 2)

Speaker: Toni Whited

Topics / Goals

- Practical advice
- Introduction to weight matrices
- Influence functions
- Getting the standard errors right

Noon - 1pm:  Lunch

1pm - 3 pm:  Simulated Method of Moments Estimation (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

8:30pm - Late:  Ann Arbor nightlife or work on project

Day 4 - Thursday, August 8, 2019

9am - 9:30am: 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:  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 of the test of over-identifying restrictions and counterfactual analyses.