Structural estimation of continuous choice models: Evaluating the EGM and MPEC

C-Tier
Journal: Economics Letters
Year: 2013
Volume: 119
Issue: 3
Pages: 287-290

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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

Technical Details

RePEc Handle
repec:eee:ecolet:v:119:y:2013:i:3:p:287-290
Journal Field
General
Author Count
1
Added to Database
2026-01-25