Permanent Faculty – University of Copenhagen

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Structural Estimation of Continuous Choice Models: Evaluating EGM and MPEC

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In this paper, I evaluate the performance of two recently proposed approaches to solving and estimating structural models: The Endogenous Grid Method (EGM) and Mathematical Programming with Equilibrium Constraints (MPEC). Monte Carlo simulations confirm that both EGM and MPEC have advantages relative to standard methods. EGM proved particularly robust, fast and straight forward to implement. Approaches trying to avoid solving the model numerically, therefore, seem to be dominated by these approaches.
Original languageEnglish
JournalEconomics Letters
Volume119
Issue number3
Pages (from-to)287–290
Number of pages4
ISSN0165-1765
DOIs
Publication statusPublished - 2013

Bibliographical note

JEL classification: C61

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