A conditional choice probability (CCP) estimator of a dynamic empirical model solves both a dynamic programming problem and a maximum likelihood problem. The estimator can dispatch the former problem before tackling the latter when the utility function is linearly parameterized; otherwise it must...

Rust (1997) discovered a class of dynamic programs that can be solved in polynomial time with a randomized algorithm. Insulated from the curse of dimensionality, this walled garden of tractable dynamic problems is intriguing, if not useful. Unfortunately, I find that the class is more limited...