Comment on Constrained Optimization Approaches to Estimation of Structural Models
成果类型：
Article
署名作者：
Iskhakov, Fedor; Lee, Jinhyuk; Rust, John; Schjerning, Bertel; Seo, Kyoungwon
署名单位：
University of New South Wales Sydney; Korea University; Georgetown University; University of Copenhagen; Korea Advanced Institute of Science & Technology (KAIST)
刊物名称：
ECONOMETRICA
ISSN/ISSBN：
0012-9682
DOI：
10.3982/ECTA12605
发表日期：
2016
页码：
365-370
关键词：
摘要：
We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We redo their comparison using the more efficient version of NFXP proposed by Rust (1987), which combines successive approximations and Newton-Kantorovich iterations to solve the fixed point problem (NFXP-NK). We show that MPEC and NFXP are similar in speed and numerical performance when the more efficient NFXP-NK variant is used.
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