The world is changing very quickly with the rise of the internet, e-commerce, and huge online databases. Doing empirical work in the future will be greatly assisted by knowing a few useful computational tools: a) relational databases, b) web-database interfaces (e.g. cgi-bin), c) programs for parsing/extracting data in text and other formats

Readings:

• John Rust (2006) Dynamic Programming (forthcoming, New Palgrave Dictionary of Economics)
• Postgres: The World's Most Advanced Open Source Database
• PERL: Practice Extraction and Report Language
• CGI-BIN: Common Gateway Interface
• The Singularity is Near: When Humans Transcend Biology By Ray Kurzweil, Viking Press.

Lecture 3: Nested Fixed Point Algorithms vs Computationally Simpler Alternatives

To do structural econometrics, we have to solve the model as a nested subroutine of our econometric estimation method (maximum likelihood, simulated minimum distance, etc.). Or do we? A discussion of " computationally simpler" alternatives to the "brute force" full solution approach to structural econometrics.

Readings:

• Pat Bajari, Han Hong, John Krainer, and Denis Nekipelov Estimating Static Models of Strategic Interactions
• John Rust Assignment: Structural Estimation of a Two Player Game of Incomplete Information
• John Rust Answer
• code for the monte carlo
• Victor Aguirregabiria and Pedro Mira (2002) Swapping the Nested Fixed Point Algorithm: A Class of Estimators for Discrete Markov Decision Models Econometrica 70-4 1519-1543.
• Joseph Hotz and Robert Miller (1993) Conditional Choice Probabilities and Estimation of Dynamic Models Review of Economic Studies 60 497-529.
• Hotz, Miller, Sanders and Smith (1994) A Simulation Estimator for Dynamic Models of Discrete Choice Review of Economics Studies 61 261-289.

Lecture 4: Breaking the Curse of Dimensionality in Theory and Practice

Readings:

• John Rust (1997) Using Randomization to Break the Curse of Dimensionality Econometrica 65-3 487-516.
• Rust, J, Traub, J.F. and H. Wozniakowski (2002) Is There a Curse of Dimensionality for Contraction Fixed Points in the Worst Case? Econometrica 70-1 285-329.
• Ariel Pakes and Paul McGuire (2001) Stochastic Algorithms, Symmetric Markov Perfect Equilibrium, and the 'curse' of Dimensionality Econometrica 69 1261-1281.
• Susumu Imai, Neelam Jain, and Andrew Ching (2005) Bayesian Estimation of Dynamic Discrete Choice Models manuscript.
• John Rust Dealing with the Complexity of Economic Calculations unpublishable manuscript.

Lecture 5: Modeling Markets and Competition between Market Intermediaries

Readings:

• John Rust and George Hall (2003) Middlemen versus Market Makers: A Theory of Competitive Exchange Journal of Political Economy 111 353-403.
• Robert Miller, Burton Hollifield, Patrik Sandas, Joshua Slive (2006) Estimating Gains from Trade in Limit Order Markets forthcoming, Journal of Finance
• Ron Goettler, Christine Parlour, Uday Rajan (2003) Equilibrium in a Dynamic Limit Order Market manuscript Tepper School of Business, Carnegie-Mellon University.
• Sofia Ramos (2003) Competition Between Stock Exchanges: A Survey
• Francois Ortalo Magne, Antonio Merlo and John Rust (2006) Models of Bargaining and Price Determination of Residential Real Estate, with and without Real Estate Agents

Lecture 6: Is the Life Cycle Model Dead?

Readings:

• B. Douglas Bernheim, Jonathan Skinner and Steven Weinberg (2001) What Accounts for the Variation in Retirement Saving Across U.S. Households? American Economic Review 91 832-857.
• David Blau (2006) Retirement and Consumption in a Life Cycle Model manuscript University of North Carolina at Chapel Hill.
• John Karl Scholz, Ananth Seshadri and Surachai Khitatrakun (2006) Are Americans Saving 'Optimally' for Retirement? Journal of Political Economy 114 607-643.
• John Rust and Chris Phelan (1997) How Social Security and Medicare Affect Retirement Behavior in a World with Incomplete Markets Econometrica 65 781-832.
• Hugo Benitez-Silva, Moshe Buchinsky, and John Rust (2004) How Large are the Classification Errors in the Social Security Disability Award Proces?
• John Rust (2005) Impact of Retiree Health Plans on Faculty Retirement Decisions in Robert Clark and Jennifer Ma (eds) Recruitment, Retention and Retirement: The Three R's of Higher Education in the 21st Century Edward Elgar, Northhampton, Massachusetts, 135-169.