Comment on "Constrained Optimization Approaches to Estimation of Structural Models"

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

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)365-370
Number of pages6
JournalEconometrica
Volume84
Issue number1
DOIs
Publication statusPublished - 2016 Jan 1

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Fixed point
Structural model
Constrained optimization
Approximation
Mathematical programming
Dynamic structural model

Keywords

  • Dynamic discrete choice
  • MPEC
  • Newton-Kantorovich algorithm
  • NFXP
  • Structural estimation
  • Successive approximations

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this

Comment on "Constrained Optimization Approaches to Estimation of Structural Models". / Iskhakov, Fedor; Lee, Jinhyuk; Rust, John; Schjerning, Bertel; Seo, Kyoungwon.

In: Econometrica, Vol. 84, No. 1, 01.01.2016, p. 365-370.

Research output: Contribution to journalArticle

Iskhakov, Fedor ; Lee, Jinhyuk ; Rust, John ; Schjerning, Bertel ; Seo, Kyoungwon. / Comment on "Constrained Optimization Approaches to Estimation of Structural Models". In: Econometrica. 2016 ; Vol. 84, No. 1. pp. 365-370.
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