Fast and simple inner-loop algorithms of static / dynamic BLP estimations
Fuente:
arXiv
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| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866916704280379392 |
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| author | Fukasawa, Takeshi |
| author_facet | Fukasawa, Takeshi |
| contents | This study investigates computationally efficient inner-loop algorithms for estimating static/dynamic BLP models. It provides the following ideas for reducing the number of inner-loop iterations: (1). Add a term relating to the outside option share in the BLP contraction mapping; (2). Analytically represent the mean product utilities as a function of value functions and solve for value functions (for dynamic BLP); (3). Combine an acceleration method of fixed-point iterations, especially the Anderson acceleration. They are independent and easy to implement. This study shows the good performance of these methods using numerical experiments. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_04494 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Fast and simple inner-loop algorithms of static / dynamic BLP estimations Fukasawa, Takeshi Econometrics This study investigates computationally efficient inner-loop algorithms for estimating static/dynamic BLP models. It provides the following ideas for reducing the number of inner-loop iterations: (1). Add a term relating to the outside option share in the BLP contraction mapping; (2). Analytically represent the mean product utilities as a function of value functions and solve for value functions (for dynamic BLP); (3). Combine an acceleration method of fixed-point iterations, especially the Anderson acceleration. They are independent and easy to implement. This study shows the good performance of these methods using numerical experiments. |
| title | Fast and simple inner-loop algorithms of static / dynamic BLP estimations |
| topic | Econometrics |
| url | https://arxiv.org/abs/2404.04494 |