This five-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