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

Published 6 Apr 2024 in econ.EM | (2404.04494v5)

Abstract: 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.

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