📚 Reading list

References by course part; 🔑 marks the key reading of a class.

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

• Judd (1998) — Numerical Methods in Economics

• Train (2009) — Discrete Choice Methods with Simulation

• Wooldridge (2010) — Econometric Analysis of Cross Section and Panel Data, for the M-estimation asymptotics

• Newey & McFadden (1994) — large sample estimation and hypothesis testing, Handbook of Econometrics

Part I — foundations and computational toolkit¶

• Keane (2010) — structural vs atheoretic approaches

• Wolpin (2013) and the review by Rust (2014)

• Sargent (2024) — critique and consequence

• Wilf (2002) — Algorithms and Complexity

Random utility and discrete choice:

• Thurstone (1959) — the measurement of values

• Luce (1959) — Individual Choice Behavior

• Marschak (1960) — binary choice constraints and random utility indicators

• McFadden (1974) — conditional logit analysis of qualitative choice behavior

• McFadden (1981) — econometric models of probabilistic choice

Part II — single-agent dynamic programming¶

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

The bus engine model and NFXP¶

• 🔑 Rust (1987) — the bus engine replacement model (Class 9)

• Rust (2000) — the NFXP manual

• Berndt et al. (1974) — the BHHH algorithm

• Su & Judd (2012) — MPEC, and the Iskhakov et al. (2016) “Comment” on it

Applications of dynamic discrete choice models¶

• Rust & Phelan (1997) — social security, Medicare and retirement

• Keane & Wolpin (1997) — career decisions of young men

• Eckstein & Wolpin (1999) — why youths drop out of high school

• Francesconi (2002) — fertility and labor supply

• Arcidiacono (2004) — ability sorting and the returns to college major

• Kennan & Walker (2011) — expected income and migration

• Buchinsky et al. (2014) — residential location and work location

• Erdem & Keane (1996) — brand choice under uncertainty and learning

• Ackerberg (2003) — advertising, learning and consumer choice

• Hendel & Nevo (2006) — sales and consumer inventory

• Fosgerau et al. (2013) — link-based route choice in networks

• Agarwal et al. (2021) — allocations under alternative waitlist designs

• Lee (2025) — opioid misuse, health, labor and policy

CCP estimation and identification¶

• 🔑 Hotz & Miller (1993) — the CCP inversion (Class 12)

• 🔑 Arcidiacono & Miller (2011) — the representation of conditional value functions, finite dependence, unobserved heterogeneity and EM (Class 12)

• Altuğ & Miller (1998) — the origin of finite dependence, and minimum distance CCP estimation

• Hotz et al. (1994) — the CCP simulation estimator

• Pesendorfer & Schmidt-Dengler (2008) — asymptotic least squares estimators

• Arcidiacono & Miller (2019) — nonstationary models with finite dependence

• Arcidiacono & Miller (2020) — identification off short panels

• Abbring & Daljord (2020) — identifying the discount factor

• Kalouptsidi et al. (2021) — identification of counterfactuals

Nested pseudo-likelihood¶

• 🔑 Aguirregabiria & Mira (2002) — swapping the nested fixed point, NPL (Class 14)

• Pesendorfer & Schmidt-Dengler (2010) — convergence of NPL, a comment

• Aguirregabiria & Marcoux (2021) — convergence of NPL in games, and the spectral algorithm

Part III — 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, with the corrigendum Iskhakov (2017)

• Druedahl & Jørgensen (2017) — a general EGM

• McFadden (1989) and Pakes & Pollard (1989) — method of simulated moments

Part IV — equilibrium models¶

• Gillingham et al. (2022) — “Equilibrium Trade in Automobiles”, the running example

Part V — games¶

• Ericson & Pakes (1995) — Markov perfect industry dynamics

• Aguirregabiria & Mira (2007) — dynamic discrete games, NPL

• 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