Notes and files

Notes

SMM and indirect inference: A practical introduction: an informal introduction detailing how to use simulated method of moments and indirect inference to estimate models with no convenient closed form heavily indebted to notes by Toni Whited.

Influence functions for fun and profit: notes on using influence functions and their application to estimating covariance matrices.

Code

PyELike: Python code for flexible generalized empirical likelihood estimators.

Estimating and testing dynamic corporate finance models: C++ and python code for Bazdresch, Kahn, Whited (2017). Includes optimized and modular code for value function iteration and SMM estimation on parallel systems.

For more, check out my github page.