Structural estimation of continuous choice models: Evaluating the EGM and MPEC
In 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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carroll, Christopher D., 2005.
"The method of endogenous gridpoints for solving dynamic stochastic optimization problems,"
CFS Working Paper Series
2005/18, Center for Financial Studies (CFS).
- Carroll, Christopher D., 2006. "The method of endogenous gridpoints for solving dynamic stochastic optimization problems," Economics Letters, Elsevier, vol. 91(3), pages 312-320, June.
- Christopher Carroll, 2005. "The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems," Economics Working Paper Archive 520, The Johns Hopkins University,Department of Economics.
- Christopher D. Carroll, 2005. "The Method of Endogenous Gridpoints for Solving Dynamic Stochastic Optimization Problems," NBER Technical Working Papers 0309, National Bureau of Economic Research, Inc.
- Sule Alan & Orazio Attanasio & Martin Browning, 2009.
"Estimating Euler equations with noisy data: two exact GMM estimators,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 24(2), pages 309-324, 03.
- Sule Alan & Orazio Attanasio & Martin Browning, 2005. "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators," CAM Working Papers 2005-10, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Martin Browning & Sule Alan, 2006. "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators," Economics Series Working Papers 283, University of Oxford, Department of Economics.
- Deaton, Angus, 1991.
"Saving and Liquidity Constraints,"
Econometric Society, vol. 59(5), pages 1221-48, September.
- Giulio Fella, 2011.
"A generalized endogenous grid method for non-concave problems,"
2011 Meeting Papers
1232, Society for Economic Dynamics.
- Giulio Fella, 2011. "A Generalized Endogenous Grid Method for Non-concave Problems," Working Papers 677, Queen Mary University of London, School of Economics and Finance.
- Che‐Lin Su & Kenneth L. Judd, 2012.
"Constrained Optimization Approaches to Estimation of Structural Models,"
Econometric Society, vol. 80(5), pages 2213-2230, 09.
- Che-Lin Su & Kenneth L. Judd, 2008. "Constrainted Optimization Approaches to Estimation of Structural Models," Discussion Papers 1460, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Sule Alan & Martin Browning, 2003. "Estimating Intertemporal Allocation Parameters using Simulated Residual Estimation," CAM Working Papers 2003-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Sule Alan & Martin Browning, 2010. "Estimating Intertemporal Allocation Parameters using Synthetic Residual Estimation," Review of Economic Studies, Oxford University Press, vol. 77(4), pages 1231-1261.
- Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:119:y:2013:i:3:p:287-290. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.