TY - JOUR
T1 - Testing the nested fixed-point algorithm in BLP random coefficients demand estimation
AU - Lee, Jinhyuk
AU - Seo, Kyoungwon
N1 - Funding Information:
Seo gratefully acknowledges the financial support of the SNU Invitation Program for Distinguished Scholar, the Institute of Finance and Banking, and Management Research Center at Seoul National University. Lee’s work is supported by a Korea Unversity Grant (K1613461).
Funding Information:
∗Corresponding author: Kyoungwon Seo, Business School, Seoul National University, Seoul, South Korea, seo8240@snu.ac.kr. Jinhyuk Lee is at Department of Economics, Korea University, Seoul, South Korea, jinhyuklee@korea.ac.kr. Seo gratefully acknowledges the financial support of the SNU Invitation Program for Distinguished Scholar, the Institute of Finance and Banking, and Management Research Center at Seoul National University. Lee’s work is supported by a Korea Unversity Grant (K1613461).
PY - 2017/12
Y1 - 2017/12
N2 - This paper examines the numerical properties of the nested fixed point algorithm (NFP) using Monte Carlo experiments in the estimation of Berry, Levinsohn, and Pakes’s (1995) random coefficient logit demand model. We find that in speed, convergence and accuracy, nested fixed-point (NFP) approach using Newton’s method performs well like a mathematical programming with equilibrium constraints (MPEC) approach adopted by Dubé, Fox, and Su (2012).
AB - This paper examines the numerical properties of the nested fixed point algorithm (NFP) using Monte Carlo experiments in the estimation of Berry, Levinsohn, and Pakes’s (1995) random coefficient logit demand model. We find that in speed, convergence and accuracy, nested fixed-point (NFP) approach using Newton’s method performs well like a mathematical programming with equilibrium constraints (MPEC) approach adopted by Dubé, Fox, and Su (2012).
KW - Nested fixedpoint algorithm
KW - Newton’s method
KW - Numerical methods
KW - Random coefficients logit demand
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M3 - Article
AN - SCOPUS:85039857942
VL - 28
SP - 1
EP - 21
JO - Journal of Economic Theory and Econometrics
JF - Journal of Economic Theory and Econometrics
SN - 1229-2893
IS - 4
ER -