NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Che-Lin Su

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers and Chapters

May 2013Nonlinear Programming Method for Dynamic Programming
with Yongyang Cai, Kenneth L. Judd, Thomas S. Lontzek, Valentina Michelangeli: w19034
A nonlinear programming formulation is introduced to solve infinite horizon dynamic programming problems. This extends the linear approach to dynamic programming by using ideas from approximation theory to avoid inefficient discretization. Our numerical results show that this nonlinear programming method is efficient and accurate.
May 2009Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation
with Jean-Pierre H. Dubé, Jeremy T. Fox: w14991
The widely-used estimator of Berry, Levinsohn and Pakes (1995) produces estimates of consumer preferences from a discrete-choice demand model with random coefficients, market-level demand shocks and endogenous prices. We derive numerical theory results characterizing the properties of the nested fixed point algorithm used to evaluate the objective function of BLP's estimator. We discuss problems with typical implementations, including cases that can lead to incorrect parameter estimates. As a solution, we recast estimation as a mathematical program with equilibrium constraints, which can be faster and which avoids the numerical issues associated with nested inner loops. The advantages are even more pronounced for forward-looking demand models where Bellman's equation must also be solved re...

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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