Jean-Jacques Forneron, Serena Ng
arXiv 20 Feb 2021 · Econometrics · publishedAEA Papers and Proceedings (2021)
arXiv:2102.10443 · PDF · DOI · OpenAlex · Extracted main text
This paper illustrates two algorithms designed in Forneron & Ng (2020): the resampled Newton-Raphson (rNR) and resampled quasi-Newton (rqN) algorithms which speed-up estimation and bootstrap inference for structural models. An empirical application to BLP shows that computation time decreases from nearly 5 hours with the standard bootstrap to just over 1 hour with rNR, and only 15 minutes using rqN. A first Monte-Carlo exercise illustrates the accuracy of the method for estimation and inference in a probit IV regression. A second exercise additionally illustrates statistical efficiency gains relative to standard estimation for simulation-based estimation using a dynamic panel regression example.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | J. Forneron \ S. Ng (2020) Estimation and Inference by Stochastic Optimization | 0.928 | 4 | 3 | 100% |
| 2 | Russell Davidson \ James G. MacKinnon (1999) Bootstrap Testing in Nonlinear Models | 0.644 | 2 | 2 | 100% |
| 3 | A. Nevo (2000) A Practitioner's Guidel to Estimation of Random-Coefficietns Logit Models of demand | 0.511 | 2 | 1 | 100% |
| 4 | D. W. K. Andrews (2002) Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators | 0.405 | 1 | 1 | 100% |
| 5 | Steven Berry, James Levinsohn \ Ariel Pakes (1995) Automobile Prices in Market Equilibrium | 0.405 | 1 | 1 | 100% |
| Gourieroux2010 | unmatched citation key Gourieroux2010 | 0.405 | 1 | 1 | 100% |
| Honore2017 | unmatched citation key Honore2017 | 0.405 | 1 | 1 | 100% |
| 8 | Patrick Kline \ Andres Santos (2012) A Score Based Approach to Wild Bootstrap Inference | 0.405 | 1 | 1 | 100% |
| 9 | Daniel Brunner, Florian Heiss, André Romahn \ Constantin Weiser (2017) Reliable estimation of random coefficient logit demand models. DICE Discussion Paper | 0.405 | 1 | 1 | 100% |
Showing the top 9 of 9 scored citations. 2 of these could not be matched to a bibliography entry, so only the citation key is shown.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Estimation and Inference by Stochastic Optimization | 0.843 | 3 | 3 |
| 2 | Fast Inference for Quantile Regression with Tens of Millions of Observations | 0.405 | 1 | 1 |