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Exact computation of max weighted score estimators

  • Florios, Kostas
  • Skouras, Spyros

We show that exact computation of a family of 'max weighted score' estimators, including Manski's max score estimator, can be achieved efficiently by reformulating them as mixed integer programs (MIP) with disjunctive constraints. The advantage of our MIP formulation is that estimates are exact and can be computed using widely available solvers in reasonable time. In a classic work-trip mode choice application, our method delivers exact estimates that lead to a different economic interpretation of the data than previous heuristic estimates. In a small Monte Carlo study we find that our approach is computationally efficient for usual estimation problem sizes.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 146 (2008)
Issue (Month): 1 (September)
Pages: 86-91

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Handle: RePEc:eee:econom:v:146:y:2008:i:1:p:86-91
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Chuan-Zhong Li, 1996. "Semiparametric Estimation of the Binary Choice Model for Contingent Valuation," Land Economics, University of Wisconsin Press, vol. 72(4), pages 462-473.
  2. DUFOUR, Jean-Marie, 2005. "Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics," Cahiers de recherche 2005-03, Universite de Montreal, Departement de sciences economiques.
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  8. Jouneau-Sion, Frederic & Torres, Olivier, 2006. "MMC techniques for limited dependent variables models: Implementation by the branch-and-bound algorithm," Journal of Econometrics, Elsevier, vol. 133(2), pages 479-512, August.
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  17. Thomas J. Kniesner & Anthony T. LoSasso, 2001. "Intergenerational Labor Market and Welfare Consequences of Poor Health," Center for Policy Research Working Papers 37, Center for Policy Research, Maxwell School, Syracuse University.
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