Constrained Optimization Approaches to Estimation of Structural Models: Comment
Research output: Contribution to journal › Comment/debate › Research › peer-review
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Constrained Optimization Approaches to Estimation of Structural Models : Comment. / Iskhakov, Fedor; Jinhyuk, Lee ; Rust, John; Schjerning, Bertel; Seo, Kyoungwon.
In: Econometrica, Vol. 84, No. 1, 26.01.2016, p. 365–370.Research output: Contribution to journal › Comment/debate › Research › peer-review
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TY - JOUR
T1 - Constrained Optimization Approaches to Estimation of Structural Models
T2 - Comment
AU - Iskhakov, Fedor
AU - Jinhyuk, Lee
AU - Rust, John
AU - Schjerning, Bertel
AU - Seo, Kyoungwon
PY - 2016/1/26
Y1 - 2016/1/26
N2 - 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.
AB - 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.
UR - https://www.econometricsociety.org/content/supplement-constrained-optimization-approaches-estimation-structural-models-comment
U2 - 10.3982/ECTA12605
DO - 10.3982/ECTA12605
M3 - Comment/debate
VL - 84
SP - 365
EP - 370
JO - Econometrica
JF - Econometrica
SN - 0012-9682
IS - 1
ER -
ID: 145259295