@article{7e96b57454154eaf996e8a3975b6c779,
title = "Testing the nested fixed-point algorithm in BLP random coefficients demand estimation",
abstract = "This paper examines the numerical properties of the nested fixed point algorithm (NFP) using Monte Carlo experiments in the estimation of Berry, Levinsohn, and Pakes{\textquoteright}s (1995) random coefficient logit demand model. We find that in speed, convergence and accuracy, nested fixed-point (NFP) approach using Newton{\textquoteright}s method performs well like a mathematical programming with equilibrium constraints (MPEC) approach adopted by Dub{\'e}, Fox, and Su (2012).",
keywords = "Nested fixedpoint algorithm, Newton{\textquoteright}s method, Numerical methods, Random coefficients logit demand",
author = "Jinhyuk Lee and Kyoungwon Seo",
note = "Funding Information: Seo gratefully acknowledges the financial support of the SNU Invitation Program for Distinguished Scholar, the Institute of Finance and Banking, and Management Research Center at Seoul National University. Lee{\textquoteright}s work is supported by a Korea Unversity Grant (K1613461). Funding Information: ∗Corresponding author: Kyoungwon Seo, Business School, Seoul National University, Seoul, South Korea, seo8240@snu.ac.kr. Jinhyuk Lee is at Department of Economics, Korea University, Seoul, South Korea, jinhyuklee@korea.ac.kr. Seo gratefully acknowledges the financial support of the SNU Invitation Program for Distinguished Scholar, the Institute of Finance and Banking, and Management Research Center at Seoul National University. Lee{\textquoteright}s work is supported by a Korea Unversity Grant (K1613461). Publisher Copyright: {\textcopyright} 2017, Korean Econometric Society. All rights reserved.",
year = "2017",
month = dec,
language = "English",
volume = "28",
pages = "1--21",
journal = "Journal of Economic Theory and Econometrics",
issn = "1229-2893",
publisher = "Korean Econometric Society",
number = "4",
}