Structural Estimation of Continuous Choice Models: Evaluating EGM and MPEC

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Structural Estimation of Continuous Choice Models : Evaluating EGM and MPEC. / Jørgensen, Thomas Høgholm.

I: Economics Letters, Bind 119, Nr. 3, 2013, s. 287–290.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Jørgensen, TH 2013, 'Structural Estimation of Continuous Choice Models: Evaluating EGM and MPEC', Economics Letters, bind 119, nr. 3, s. 287–290. https://doi.org/10.1016/j.econlet.2013.02.027

APA

Jørgensen, T. H. (2013). Structural Estimation of Continuous Choice Models: Evaluating EGM and MPEC. Economics Letters, 119(3), 287–290. https://doi.org/10.1016/j.econlet.2013.02.027

Vancouver

Jørgensen TH. Structural Estimation of Continuous Choice Models: Evaluating EGM and MPEC. Economics Letters. 2013;119(3):287–290. https://doi.org/10.1016/j.econlet.2013.02.027

Author

Jørgensen, Thomas Høgholm. / Structural Estimation of Continuous Choice Models : Evaluating EGM and MPEC. I: Economics Letters. 2013 ; Bind 119, Nr. 3. s. 287–290.

Bibtex

@article{99358637da8c4a46a8fcd8ea322c0734,
title = "Structural Estimation of Continuous Choice Models: Evaluating EGM and MPEC",
abstract = "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 EGM and MPEC have advantages relative to standard methods. EGM proved particularly robust, fast and straight forward to implement. Approaches trying to avoid solving the model numerically, therefore, seem to be dominated by these approaches. ",
keywords = "Faculty of Social Sciences, Structural estimation , Continuous choice, Endogenous Grid Method (EGM), Mathematical Programming with Equilibrium Constraints (MPEC)",
author = "J{\o}rgensen, {Thomas H{\o}gholm}",
note = "JEL classification: C61",
year = "2013",
doi = "10.1016/j.econlet.2013.02.027",
language = "English",
volume = "119",
pages = "287–290",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "3",

}

RIS

TY - JOUR

T1 - Structural Estimation of Continuous Choice Models

T2 - Evaluating EGM and MPEC

AU - Jørgensen, Thomas Høgholm

N1 - JEL classification: C61

PY - 2013

Y1 - 2013

N2 - 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 EGM and MPEC have advantages relative to standard methods. EGM proved particularly robust, fast and straight forward to implement. Approaches trying to avoid solving the model numerically, therefore, seem to be dominated by these approaches.

AB - 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 EGM and MPEC have advantages relative to standard methods. EGM proved particularly robust, fast and straight forward to implement. Approaches trying to avoid solving the model numerically, therefore, seem to be dominated by these approaches.

KW - Faculty of Social Sciences

KW - Structural estimation

KW - Continuous choice

KW - Endogenous Grid Method (EGM)

KW - Mathematical Programming with Equilibrium Constraints (MPEC)

U2 - 10.1016/j.econlet.2013.02.027

DO - 10.1016/j.econlet.2013.02.027

M3 - Journal article

VL - 119

SP - 287

EP - 290

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 3

ER -

ID: 44686870