Permanent Faculty – University of Copenhagen

Forward this page to a friend Resize Print Bookmark and Share

Department of Economics > Staff > Permanent Faculty

Constrained Optimization Approaches to Estimation of Structural Models: Comment

Publication: Research - peer-reviewComment/debate

Fedor Iskhakov, Lee Jinhyuk, John Rust, Bertel Schjerning, Kyoungwon Seo

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 (SJ, 2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We re-do 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.
Original languageEnglish
JournalEconometrica
Volume84
Issue number1
Pages (from-to)365–370
Number of pages6
ISSN0012-9682
DOIs
StatePublished - 26 Jan 2016

ID: 145259295