Fast and simple inner-loop algorithms of static / dynamic BLP estimations

Takeshi Fukasawa

Papers from arXiv.org

Abstract: This study investigates computationally efficient inner-loop algorithms for estimating static/dynamic BLP models. It provides the following ideas to reduce the number of inner-loop iterations: (1). Add a term concerning the outside option share in the BLP contraction mapping; (2). Analytically represent mean product utilities as a function of value functions and solve for the value functions (for dynamic BLP); (3). Combine an acceleration method of fixed point iterations, especially Anderson acceleration. They are independent and easy to implement. This study shows good performance of these methods by numerical experiments.

Date: 2024-04, Revised 2024-10
New Economics Papers: this item is included in nep-dcm
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