Each masterclass offers the opportunity to hear a notable contributor to a body of knowledge give an authoritative account of a field of theoretical or applied research. A mix of PhD students, academic and professional researchers, and business analysts from the USA and worldwide attend.
The price for each of the masterclasses is as follows: Students from Higher Education Institutions $500; Faculty from Higher Education Institutions $950; Government and Employees of Non-Profit organization $950; All others $1750. Note we will assign a limited number of places for students, and we will offer a discounted price for organizations which send multiple participants. If your organization wishes to send multiple particiapants, please contact us to arrange a reduced price before individuals from your organization register and pay seperately.
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June 5-6, 2017
Fedor Iskhakov (Australian National University), John Rust (Georgetown University), and Bertel Schjerning (University of Copenhagen)
Dynamic Programming–Theory, Computation and Empirical Applications
Dynamic programming (DP) is a fundamental tool in modern economics: it enables us to model decision making over time and under uncertainty, and is a general tool for modeling a wide range of phenomena, from individual retirement decisions to bidding in auctions, and price setting, investment, and financial decisions of firms. This course is focused on the empirical application of DP models and will discuss state of the art methods for solving and simulating DP models and estimating them econometrically, with numerous actual empirical applications to illustrate how these tools and methods are used in practice. We will also discuss the formulation and solution of dynamic equilibrium models and dynamic games and provide state of the art algorithms for finding equilibria and simulating and estimating such models. We will also discuss a growing line of research on behavioral models and ways to deal with some of the limitations of models of "full rationality" including the curse of dimensionality, the identification problem, and the problem of multiplicity of equilibria.
The lecture will be presented by three leading contributors to this literature. John Rust is a Professor of Economics at Georgetown and has made important contributions to the literature on estimation of dynamic discrete choice models. Rust was awarded the Frisch Medal (highest award from the Econometric Society for best empirical paper published in Econometrica in the preceding 5 year period for his paper, "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher") in 1992. Fedor Iskhakov is a Senior Lecturer in Economics at Australian National University and winner of His Majesty the King of Norway Golden Medal for best research in social sciences by young researcher in Norway in 2008 for his PhD thesis, "A Dynamic Structural Analysis of Health and Retirement". Bertel Schjerning is a Professor of Economics at the University of Copenhagen and head of the Centre for Computational Economics, and is well known for his contributions to several fields including his 2014 paper in the Journal of Public Economics with Daniel le Maire, "Tax bunching, income shifting and self-employment". Iskhakov, Rust and Schjerning have collaborated on a number of projects at the frontiers of structural estimation and algorithmic game theory including their 2016 paper in the Review of Economic Studies, " Recursive Lexicographical Search: Finding all Markov Perfect Equilibria of Finite State Directional Dynamic Games".
The course is designed to be "self-contained" and there are no pre-requisites. It is targeted for graduate students who are interested in learning the tools and methods to formulate, solve, estimate and simulate dynamic models, as well as for policy makers who are interested in the current state of the art (as well as a frank discussion of the limitations) for these types of models in practical policy making. Some knowledge of optimization, computer programming and microeconomic theory at the level of a 1st year PhD program in economics is useful but not required. The course will provide access to computer code and help in programming questions and questions on how to apply these types of models to problems that attendees in this short course may encounter in their own research and work.
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