Structural estimation of continuous choice models: Evaluating the EGM and MPEC
AbstractIn 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 the EGM and MPEC have advantages relative to standard methods. The EGM proved particularly robust, fast and straightforward to implement. Approaches trying to avoid solving the model numerically, therefore, seem to be dominated by these approaches.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 119 (2013)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ecolet
Structural estimation; Continuous choice; Endogenous Grid Method (EGM); Mathematical Programming with Equilibrium Constraints (MPEC);
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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