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econ.EM2026
A Stochastic Nested Fixed Point Algorithm for Large-Scale BLP Estimation
Zhentong Lu, Myung Hwan Seo, Youngki Shin +1
We develop a stochastic nested fixed point (SNFP) estimator for random coefficients logit demand models that updates model parameters using stochastic gradients and performs demand…
stat.ME2026
SAUSS: Stochastic Approximation with Unbiased Simulated Scores for Limited Dependent Variable Models
Sokbae Lee, Yuan Liao, Myung Hwan Seo +1
Simulated maximum likelihood is widely used in latent-variable models where likelihood evaluation requires intractable integrals or probabilities. With a fixed number of simulation…