This repository contains teaching materials for lectures in the master level course in Dynamic Programming and Structural Econometrics that I teach at the Economics program at University of Copenhagen.
Previously recorded lectures are available for a subset lectures and can be found under the Lectures in Dynamic Programming playlist on Bertel Schjerning's YouTube channel. Where available, links to videos below (note that slides may be updated relative to those used in the slides).
Plans for lectures and exercises can be found at this page. Changes might occur.
Repository will be updated as we go a along.
- Introduction to Markov Decision Processes (MDPs) and Dynamic Programming (DP)
- Numerical Implementation of Simple Deterministic DP Problem: The Cake Eating Problem
- Numerical Integration in 1D
- Solving Deaton's Model
- Multi-dimensional Integration: Monte Carlo and Quadrature Methods
- Portfolio Choice Example (Part 1): Integration
- Portfolio Choice Example (Part 2): Optimization
- Function Approximation + The Curse of Dimensionality
- The Nested Fixed Point Algorithm (NFXP)
- Constrained Optimization Approaches to Structural Estimation (MPEC)
- Sequential Estimation in Discrete Decision Problems: Nested Pseudo Likelihood (NPL) and CCP Estimators
- Stationary Equilibrium: Equilibrium Trade in Automobile Markets