INTRODUCTION

This chapter reviews dynamic structural econometric models with both continuous and discrete controls, and those with market interactions. Its goal is to highlight techniques which enable researchers to obtain estimates of the parameters of models with these characteristics, and then use the estimates in subsequent descriptive and policy analysis. In an attempt to increase the accessibility of structural modelling, emphasis has been laid on estimation techniques which, though consistent with the underlying structural model, are computationally simple. The extent to which this is possible depends on the characteristics of the applied problem of interest, so the chapter ends up covering more than one topic. To help the reader who has more focussed interests, we now provide an outline of what can be found in the various subsections of the chapter.

Section 2 introduces the examples used to illustrate the points made in the chapter. We begin with single-agent problems involving continuous, as well as discrete, controls, and later place the agent explicitly into a market setting. The availability of continuous controls raises the possibility of using stochastic Euler equations to estimate some of the parameters of the model, and section 3 begins the substantive discussion of the chapter by considering this possibility.