Identification and Estimation of Dynamic Structural Models with Applications in Optimal Contracting, Auctions and Market Microstructure
 

The Econometric Society is pleased to announce the Masterclass on Identification and Estimation of Dynamic Structural Models, which will take place at FGV-EESP in São Paulo, Brazil, on December 7–10, 2026. We are now accepting applications.

The four-day course explores relationships between economic theory, identification, estimation and econometric practice. It develops structural approaches for analyzing large cross-sectional and longitudinal data sets, by exploiting restrictions derived from the equilibrium dynamic outcomes of economic theory. The empirical specifications are derived from the data generating processes of models of individual discrete and continuous optimization, Nash equilibrium in non-cooperative games and market microstructure, optimal contracts, as well as competitive equilibrium. We investigate empirical content, characterize identification, evaluate alternative estimators and testing procedures, as well as consider counterfactuals. Each day combines lectures with a hands-on computational practicum. The course is taught in English. Participants should bring their laptops.
 

Instructors:

• Robert A. Miller (Carnegie Mellon University)
• Aaron Barkley (University of Melbourne)
   

Program

Day 1 (Monday) – Continuous and discrete choices

• • Continuous choices in competitive equilibrium (lecture)
• • Discrete choices (lecture)
• • Continuous and discrete choices (lecture)
• • A first exercise in structural estimation (practicum)

Day 2 (Tuesday) – Dynamic discrete choice and CCP estimation

• • Introduction to dynamic discrete choice (lecture)
• • Identification and estimation (lecture)
• • Continuous and discrete choices (lecture)
• • Estimating with CCP (practicum)

Day 3 (Wednesday) – Dynamic games and unobserved heterogeneity

• • Dynamic games (lecture)
• • Unobserved heterogeneity (lecture)
• • Finite dependence (lecture)
• • Estimating dynamic games (practicum)

Day 4 (Thursday) – Optimal contracting, auctions, and market microstructure

• • Optimal contracting (lecture)
• • Auctions and procurement (lecture)
• • Market microstructure (lecture)
• • Estimating models of moral hazard (practicum)

Who should apply

The masterclass is aimed at graduate students (master's and PhD), post-doctoral researchers, and early-career faculty in economics interested in estimation of dynamic structural models. We particularly encourage applications from scholars based in Latin America.
 

Registration

To register, please send an email to fabio.sanches@fgv.br by November 13, 2026, with your name, institutional affiliation, current position, and the email address associated with your Econometric Society membership. Applicants will be notified by November 20, 2026. 

There is no registration fee. Places are limited. The masterclass does not provide travel or accommodation support.

Applicants must be members of the Econometric Society at the time of registration. To join, visit: https://www.econometricsociety.org/membership/join-renew. Special rates apply to students and scholars based in low- and middle-income countries. If you wish to request a free membership through the Latin America Young Scholars Fund (see below), please do so before registering and allow about two days for approval.

Latin America Young Scholars Fund

The Econometric Society has limited scholarships available giving free one-year memberships to advanced master's students, doctoral students, and early career faculty in economics based at institutions in Latin America. To apply, write to Bruno Ferman, brunoferman@gmail.com and Lyn Hogan at lhogan@econometricsociety.org.

We look forward to receiving your registrations and to welcoming you to São Paulo in December 2026.