Powered by OpenAIRE graph
Found an issue? Give us feedback
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ https://www.econstor...arrow_drop_down
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
EconStor
Research . 2011
Data sources: EconStor
versions View all 3 versions
addClaim

High performance quadrature rules: how numerical integration affects a popular model of product differentiation

Authors: Kenneth L. Judd; Ben Skrainka;

High performance quadrature rules: how numerical integration affects a popular model of product differentiation

Abstract

Efficient, accurate, multi-dimensional, numerical integration has become an important tool for approximating the integrals which arise in modern economic models built on unobserved heterogeneity, incomplete information, and uncertainty. This paper demonstrates that polynomialbased rules out-perform number-theoretic quadrature (Monte Carlo) rules both in terms of efficiency and accuracy. To show the impact a quadrature method can have on results, we examine the performance of these rules in the context of Berry, Levinsohn, and Pakes (1995)’s model of product differentiation, where Monte Carlo methods introduce considerable numerical error and instability into the computations. These problems include inaccurate point estimates, excessively tight standard errors, instability of the inner loop ‘contraction’ mapping for inverting market shares, and poor convergence of several state of the art solvers when computing point estimates. Both monomial rules and sparse grid methods lack these problems and provide a more accurate, cheaper method for quadrature. Finally, we demonstrate how researchers can easily utilize high quality, high dimensional quadrature rules in their own work.

Related Organizations
Keywords

Gauss-Hermite Quadrature, Sparse Grid Integration, pseudo-Monte Carlo, ddc:330, Monte Carlo Integration, Random Coefficients, Product Differentiation, Econometrics, Numerical Integration, Discrete Choice, Monomial Rules

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    7
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Top 10%
Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Average
Average
Top 10%