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

Thomas Jørgensen ()

Economics Letters, 2013, vol. 119, issue 3, 287-290

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.

Keywords: Structural estimation; Continuous choice; Endogenous Grid Method (EGM); Mathematical Programming with Equilibrium Constraints (MPEC) (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.econlet.2013.02.027

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