📚 Reading list
The main references for the course, organized by the part in which they are used.
Textbooks and general references¶
Adda & Cooper (2023) — Dynamic Economics: Quantitative Methods and Applications, the closest thing to a textbook for this course
Sargent & Stachurski (2025) — Dynamic Programming: Finite States, the theory behind Part II, with open-source code; freely readable at dp.quantecon.org
Train (2009) — Discrete Choice Methods with Simulation
Wooldridge (2010) — Econometric Analysis of Cross Section and Panel Data, for the M-estimation asymptotics
Part I — foundations¶
Keane (2010) — structural vs atheoretic approaches
Wolpin (2013) and the review by Rust (2014)
Sargent (2024) — critique and consequence
Part II — dynamic programming¶
Rust (2016) — “Dynamic programming”, The New Palgrave Dictionary of Economics
Aguirregabiria & Mira (2010) — survey of dynamic discrete choice structural models
Ma & Stachurski (2021) — dynamic programming deconstructed
Part III — single-agent dynamic discrete choice¶
Rust (1987) — the bus engine replacement model
Rust (2000) — the NFXP manual
Su & Judd (2012) — MPEC
Hotz & Miller (1993) — CCP inversion
Aguirregabiria & Mira (2002) — swapping the nested fixed point, NPL
Arcidiacono & Miller (2011) — unobserved heterogeneity and EM
Abbring & Daljord (2020) — identifying the discount factor
Part IV — continuous choice and simulation-based estimation¶
Carroll (2006) — the endogenous gridpoint method
Iskhakov et al. (2017) — DC-EGM for discrete-continuous problems
Iskhakov (2015) — the multidimensional endogenous gridpoint method
Druedahl & Jørgensen (2017) — a general EGM
McFadden (1989) and Pakes & Pollard (1989) — method of simulated moments
Part V — equilibrium models¶
Gillingham et al. (2022) — “Equilibrium Trade in Automobiles”, the running example
Part VI — games¶
Ericson & Pakes (1995) — Markov perfect industry dynamics
Aguirregabiria & Mira (2007) — dynamic discrete games
Bajari et al. (2007) — BBL
Su (2014) — estimation under multiplicity
Judd et al. (2012) — finding all pure strategy equilibria
Dearing & Blevins (2025) — EPL
Iskhakov et al. (2016) — recursive lexicographical search: finding all Markov perfect equilibria of directional dynamic games
Iskhakov et al. (n.d.) — structural estimation of directional games with multiple equilibria
Iskhakov et al. (2018) — Bertrand price competition with cost-reducing investments
- Adda, J., & Cooper, R. W. (2023). Dynamic Economics: Quantitative Methods and Applications. MIT Press. https://mitpress.mit.edu/9780262547888/dynamic-economics
- Sargent, T. J., & Stachurski, J. (2025). Dynamic Programming: Finite States. Cambridge University Press. 10.1017/9781009540780
- Train, K. E. (2009). Discrete Choice Methods with Simulation (2nd ed.). Cambridge University Press. 10.1017/CBO9780511805271
- Wooldridge, J. M. (2010). Econometric Analysis of Cross Section and Panel Data (2nd ed.). MIT Press.
- Keane, M. (2010). Structural vs. atheoretic approaches to econometrics. Journal of Econometrics, 156(1), 3–20. https://econpapers.repec.org/article/eeeeconom/v_3a156_3ay_3a2010_3ai_3a1_3ap_3a3-20.htm
- Wolpin, K. I. (2013). The Limits of Inference without Theory. The MIT Press. 10.7551/mitpress/9258.001.0001
- Rust, J. (2014). The Limits of Inference with Theory: A Review of Wolpin (2013). Journal of Economic Literature, 52(3), 820–850. 10.1257/jel.52.3.820
- Sargent, T. J. (2024). Critique and consequence. Journal of Monetary Economics, 141, 2–13. 10.1016/j.jmoneco.2023.10.001
- Rust, J. (2016). Dynamic programming. In The new palgrave dictionary of economics (pp. 1–26). Palgrave Macmillan UK. https://doi.org/10.1057/978-1-349-95121-5₁932-1
- Aguirregabiria, V., & Mira, P. (2010). Dynamic discrete choice structural models: A survey. Journal of Econometrics, 156(1), 38–67. 10.1016/j.jeconom.2009.09.007
- Ma, Q., & Stachurski, J. (2021). Dynamic Programming Deconstructed: Transformations of the Bellman Equation and Computational Efficiency. Operations Research, 69(5), 1591–1607. 10.1287/opre.2020.2006
- Rust, J. (1987). Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher. Econometrica, 55(5), 999. 10.2307/1911259
- Rust, J. (2000). Nested Fixed Point Algorithm Documentation Manual [Techreport]. Yale University.
- Su, C.-L., & Judd, K. L. (2012). Constrained Optimization Approaches to Estimation of Structural Models. Econometrica, 80(5), 2213–2230. 10.3982/ECTA7925
- Hotz, V. J., & Miller, R. A. (1993). Conditional Choice Probabilities and the Estimation of Dynamic Models. The Review of Economic Studies, 60(3), 497. 10.2307/2298122