Development of algorithms for estimating dynamic structural models

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This research project develops a new procedure for estimating the dynamic structural models, namely, the econometric models that require solving a dynamic programming (fixed point) problem. The new estimation algorithm has two attractive features : (1) it is computationally less demanding than the existing methods, and (2) it is applicable to a wide range of dynamic structural models. Further, I analyze the asymptotic property of the proposed algorithm, and I demonstrate the practical applicability of the proposed algorithm by computer simulations.