AN INTRODUCTION TO STRUCTURAL ECONOMETRICS

This short course on structural econometrics explores relationships between economic theory, identification, estimation and econometric practice. Professor Robert Miller will lecture each morning, and Dr Aaron Barkley will conduct tutorials in the afternoon. The first day focuses on individual choice in competitive equilibrium, the second on contracting, and the third on market microstructure. The course material drawn from class notes, video presentations and exercises prepared for a semester long course in structural econometrics taught at Carnegie Mellon University.

Tuesday May 9 (Optimal decision making in equilibrium)

9:00AM – 10:15AM: Continuous choices

10:15AM – 10:30AM: SHORT BREAK

10:30AM - 11:15PM: Discrete choices

11:15AM – 11:45AM: COFFEE BREAK

11:45AM - 1:00PM: CCP estimators

1:00PM – 2:15PM: LUNCH

2:15PM - 3:30PM: Estimating sealed bid auctions

3:30PM – 3:45PM: SHORT BREAK

3:45PM - 5:00PM: Implementing CCP estimators

Wednesday May 10 (Optimal contracting)

9:00AM - 10:15AM: Pure Moral Hazard

10:15AM – 10:30AM: SHORT BREAK

10:30AM - 11:15AM: Executive Pay Differentials by Firm Size

11:15AM – 11:45AM: COFFEE BREAK

11:45AM - 1:00PM: Procurement

1:00PM – 2:15PM: LUNCH

2:15PM - 3:30PM: Finite dependence

3:30PM – 3:45PM: SHORT BREAK

3:45PM - 5:00PM: Unobserved heterogeneity

Thursday May 11 (Market structure)

9:00AM – 10:15AM: Dynamic games

10:15AM – 10:30AM: SHORT BREAK

10:30AM - 11:15PM: Auction dynamics

11:15AM – 11:45AM: COFFEE BREAK

11:45AM - 1:00PM: Limit order markets

1:00PM – 2:15PM: LUNCH

2:15PM - 3:30PM: Estimating dynamic games

3:30PM – 3:45PM: SHORT BREAK

3:45PM - 5:00PM: Estimating ascending auctions