Comment on “Constrained Optimization Approaches to Estimation of Structural Models”
Comment on “Constrained Optimization Approaches to Estimation of Structural Models”
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对“结构模型估计的约束优化方法”的评论
DOI：
10.3982/ecta12605
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发表时间：
2016
期刊：
影响因子：
6.1
通讯作者：
Kyoungwon Seo
中科院分区：
文献类型：
--
作者：
Fedor Iskhakov;Jinhyuk Lee;John Rust;Bertel Schjerning;Kyoungwon Seo
我们重新回顾了Su和Judd（2012）估计结构动力模型的平衡约束数学规划（MPEC）和嵌套不动点（NFXP）算法的比较。他们的嵌套不动点算法的实现使用逐次逼近来解决内部不动点问题（NFXP-SA）。我们使用Rust（1987）提出的更有效的NFXP版本重新进行比较，该版本结合了逐次逼近和Newton-Kantorovich迭代来解决不动点问题（NFXP-NK）。我们表明，当使用更有效的NFXP-NK变体时，MPEC和NFXP在速度和数值性能上相似。
We revisit the comparison of mathematical programming with equilibrium constraints (MPEC) and nested fixed point (NFXP) algorithms for estimating structural dynamic models by Su and Judd (2012). Their implementation of the nested fixed point algorithm used successive approximations to solve the inner fixed point problem (NFXP‐SA). We redo their comparison using the more efficient version of NFXP proposed by Rust (1987), which combines successive approximations and Newton–Kantorovich iterations to solve the fixed point problem (NFXP‐NK). We show that MPEC and NFXP are similar in speed and numerical performance when the more efficient NFXP‐NK variant is used.