We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or expected value function in a general class of dynamic discrete choice (DDC) models. We use importance sampling to approximate the Bellman operators defining the two functions. The random...

This dissertation contains three self-contained chapters. They are united by the dynamic economic models that are either studied theoretically or applied empirically. The first two were written in collaboration with co-authors. The first chapter is about the theoretical properties of the value...