Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
Comment on "Constrained Optimization Approaches to Estimation of Structural Models
- Issue Date
- 1월-2016
- Publisher
- WILEY-BLACKWELL
- Keywords
- Structural estimation; dynamic discrete choice; NFXP; MPEC; successive approximations; Newton-Kantorovich algorithm
- Citation
- ECONOMETRICA, v.84, no.1, pp.365 - 370
- Indexed
- SCIE
SSCI
SCOPUS
- Journal Title
- ECONOMETRICA
- Volume
- 84
- Number
- 1
- Start Page
- 365
- End Page
- 370
- ISSN
- 0012-9682
- Abstract
- We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We redo their comparison using the more efficient version of NFXP proposed by Rust (1987), which combines successive approximations and Newton-Kantorovich iterations to solve the fixed point problem (NFXP-NK). We show that MPEC and NFXP are similar in speed and numerical performance when the more efficient NFXP-NK variant is used.
- Files in This Item
- There are no files associated with this item.
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.