Constrained Optimization Approaches to Estimation of Structural Models: Comment

TY - JOUR

T1 - Constrained Optimization Approaches to Estimation of Structural Models

T2 - Comment

AU - Iskhakov, Fedor

AU - Jinhyuk, Lee

AU - Rust, John

AU - Schjerning, Bertel

AU - Seo, Kyoungwon

PY - 2016/1/26

Y1 - 2016/1/26

N2 - 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 (SJ, 2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We re-do 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.

AB - 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 (SJ, 2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP-SA). We re-do 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.

UR - https://www.econometricsociety.org/content/supplement-constrained-optimization-approaches-estimation-structural-models-comment

U2 - 10.3982/ECTA12605

DO - 10.3982/ECTA12605

M3 - Comment/debate

SN - 0012-9682

VL - 84

SP - 365

EP - 370

JO - Econometrica

JF - Econometrica

IS - 1

ER -