IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v53y2009i6p2055-2060.html
   My bibliography  Save this article

Solving models with inequalities using standard econometric software

Author

Listed:
  • ten Cate, Arie

Abstract

Simultaneouseconometric models may contain pairs of complementary inequalities. It is discussed how to reformulate such models and solve them with econometric software which can handle only equalities. Two approaches are applied: the normal map representation and the Fischer-Burmeister NCP function. The latter seems to work best. The software programs TSP, SAS/ETS and EViews are tested. The test model describes two markets for electricity, each with fluctuating demand and an endogenous production capacity; the capacity of the trade link between the regions is also endogenous.

Suggested Citation

  • ten Cate, Arie, 2009. "Solving models with inequalities using standard econometric software," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2055-2060, April.
    • Handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2055-2060
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(08)00069-8
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Arie ten Cate, 2007. "Modelling the reporting discrepancies in bilateral data," CPB Memorandum 179, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Arie ten Cate & Mark Lijesen, 2004. "The Elmar model: output and capacity in imperfectly competitive electricity markets," CPB Memorandum 94, CPB Netherlands Bureau for Economic Policy Analysis.
    3. Drud, Arne, 1983. "A survey of model representations and simulation algorithms in some existing modeling systems," Journal of Economic Dynamics and Control, Elsevier, vol. 5(1), pages 5-35, February.
    4. Stephen M. Robinson, 1992. "Normal Maps Induced by Linear Transformations," Mathematics of Operations Research, INFORMS, vol. 17(3), pages 691-714, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Arie ten Cate, 2009. "A closed-form expression for the optimal capacity of CHP," CPB Memorandum 220, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Baohua Huang & Wen Li, 2023. "A smoothing Newton method based on the modulus equation for a class of weakly nonlinear complementarity problems," Computational Optimization and Applications, Springer, vol. 86(1), pages 345-381, September.
    3. Mulder, Machiel & Zeng, Yuyu, 2018. "Exploring interaction effects of climate policies: A model analysis of the power market," Resource and Energy Economics, Elsevier, vol. 54(C), pages 165-185.
    4. J. Han & D. Sun, 1997. "Newton and Quasi-Newton Methods for Normal Maps with Polyhedral Sets," Journal of Optimization Theory and Applications, Springer, vol. 94(3), pages 659-676, September.
    5. Alexander Shapiro, 2005. "Sensitivity Analysis of Parameterized Variational Inequalities," Mathematics of Operations Research, INFORMS, vol. 30(1), pages 109-126, February.
    6. Chen, Dean T. & Dharmaratne, Gerard, 1990. "Farm Price Determination in Structural Models: Implications of Quantity-Dependent and Price-Dependent Specifications," Research Reports 257906, Texas A&M University, Agricultural and Food Policy Center.
    7. Zhengyong Zhou & Yunchan Peng, 2019. "The locally Chen–Harker–Kanzow–Smale smoothing functions for mixed complementarity problems," Journal of Global Optimization, Springer, vol. 74(1), pages 169-193, May.
    8. Arjan Lejour & Nico van Leeuwen & Arie ten Cate, 2008. "The quality of bilateral services trade data: contribution to GTAP7 database," CPB Memorandum 212.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    9. Pelikan, Janine & Brockmeier, Martina, 2007. "Methods to Aggregate Import Tariffs and their Impacts on Modeling Results," Conference papers 331663, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    10. Jasper Lukkezen & Hugo Rojas-Romagosa, 2012. "When is debt sustainable?," CPB Discussion Paper 212.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    11. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5, July-Dece.
    12. Jong-Shi Pang & Defeng Sun & Jie Sun, 2003. "Semismooth Homeomorphisms and Strong Stability of Semidefinite and Lorentz Complementarity Problems," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 39-63, February.
    13. Johannes Bollen & Corjan Brink, 2012. "Air Pollution Policy in Europe: Quantifying the Interaction with Greenhouse Gases and Climate Change Policies," CPB Discussion Paper 220.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    14. Shu Lu & Amarjit Budhiraja, 2013. "Confidence Regions for Stochastic Variational Inequalities," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 545-568, August.
    15. Machiel Mulder & Victoria Shestalova & Mark Lijesen, 2005. "Vertical separation of the energy-distribution industry; an assessment of several options for unbundling," CPB Document 84, CPB Netherlands Bureau for Economic Policy Analysis.
    16. Shu Lu, 2008. "Sensitivity of Static Traffic User Equilibria with Perturbations in Arc Cost Function and Travel Demand," Transportation Science, INFORMS, vol. 42(1), pages 105-123, February.
    17. Arie ten Cate, 2012. "The identification of reporting accuracies from mirror data," CPB Discussion Paper 216, CPB Netherlands Bureau for Economic Policy Analysis.
    18. Ferris, Michael C. & Munson, Todd S., 2000. "Complementarity problems in GAMS and the PATH solver," Journal of Economic Dynamics and Control, Elsevier, vol. 24(2), pages 165-188, February.
    19. Shu Lu, 2010. "Variational Conditions Under the Constant Rank Constraint Qualification," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 120-139, February.
    20. Todd S. Munson & Francisco Facchinei & Michael C. Ferris & Andreas Fischer & Christian Kanzow, 2001. "The Semismooth Algorithm for Large Scale Complementarity Problems," INFORMS Journal on Computing, INFORMS, vol. 13(4), pages 294-311, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:53:y:2009:i:6:p:2055-2060. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.