This repo contains lecture notes describing techniques for solving microeconomic dynamic stochastic optimization problems, and show how to use those tools for efficiently estimating a standard life cycle consumption/saving model using microeconomic data. No attempt is made at a systematic overview of the many possible technical choices; instead, I present a specific set of methods that have proven useful in my own work (and explain why other popular methods, such as value function iteration, are a bad idea). Paired with these notes is \textit{Mathematica}, Matlab, and Python software that solves the problems described in the text.
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Christopher Carroll's Lecture Notes on Solving Microeconomic Dynamic Stochastic Optimization Problems and Indirect Inference
License: Apache License 2.0