Abstract
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).
| Original language | English |
|---|---|
| Pages (from-to) | 1-21 |
| Number of pages | 21 |
| Journal | Journal of Economic Theory and Econometrics |
| Volume | 28 |
| Issue number | 4 |
| Publication status | Published - 2017 Dec 1 |
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Keywords
- Nested fixedpoint algorithm
- Newton’s method
- Numerical methods
- Random coefficients logit demand
ASJC Scopus subject areas
- Economics and Econometrics
Cite this
Testing the nested fixed-point algorithm in BLP random coefficients demand estimation. / Lee, Jinhyuk; Seo, Kyoungwon.
In: Journal of Economic Theory and Econometrics, Vol. 28, No. 4, 01.12.2017, p. 1-21.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Testing the nested fixed-point algorithm in BLP random coefficients demand estimation
AU - Lee, Jinhyuk
AU - Seo, Kyoungwon
PY - 2017/12/1
Y1 - 2017/12/1
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 -