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

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  • Takeshi Fukasawa

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.

Suggested Citation

  • Takeshi Fukasawa, 2024. "Fast and simple inner-loop algorithms of static / dynamic BLP estimations," Papers 2404.04494, arXiv.org, revised Oct 2024.
    • Handle: RePEc:arx:papers:2404.04494
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