The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.
Constrained Optimization Approaches to Estimation of Structural Models
Open accessAbstract
Estimating structural models is often viewed as computationally difficult, an impression partly due to a focus on the nested fixed-point (NFXP) approach. We propose a new constrained optimization approach for structural estimation. We show that our approach and the NFXP algorithm solve the same estimation problem, and yield the same estimates. Computationally, our approach can have speed advantages because we do not repeatedly solve the structural equation at each guess of structural parameters. Monte Carlo experiments on the canonical Zurcher bus-repair model demonstrate that the constrained optimization approach can be significantly faster.
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Cites
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Finite-Dimensional Variational Inequalities and Complementarity Problems
(2004) · Springer Series in Operations Research and Financial Engineering · doi:10.1007/b97544 · Cited by 3,521
SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
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Dynamics of Consumer Demand for New Durable Goods
Gowrisankaran, G., & Rysman, M. (2012) · Journal of Political Economy · doi:10.1086/669540 · Cited by 322
Machine learning for high-dimensional dynamic stochastic economies
Scheidegger, S., & Bilionis, I. (2019) · Journal of Computational Science · doi:10.1016/j.jocs.2019.03.004 · Cited by 72
A Quantitative Analysis of Subsidy Competition in the U.S.
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Metadata
- Venue
- Econometrica
- Publisher
- The Econometric Society
- Published
- 2012
- Volume
- 80
- Issue
- 5
- Pages
- 2213-2230
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W3121381580
- Cited by
- 365
- References
- 37
- FWCI
- 90.14
- Type
- journal article
- Language
- en
- Open access
- green
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