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Fast and simple inner-loop algorithms of static / dynamic BLP estimations

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  • Takeshi Fukasawa

Abstract

This study investigates computationally efficient inner-loop algorithms for estimating static / dynamic BLP models. It provides the following ideas to reduce the number of inner-loop iterations: (1). Add a term concerning the outside option share in the BLP contraction mapping; (2). Analytically represent mean product utilities as a function of value functions and solve for the value functions (for dynamic BLP); (3-1). Combine the spectral / SQUAREM algorithms; (3-2). Choice of the step sizes. These methods are independent and easy to implement. This study shows good performance of these ideas by numerical experiments.

Suggested Citation

  • Takeshi Fukasawa, 2024. "Fast and simple inner-loop algorithms of static / dynamic BLP estimations," Papers 2404.04494, arXiv.org.
    • Handle: RePEc:arx:papers:2404.04494
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