Exact computation of max weighted score estimators |
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Authors: | Kostas Florios Spyros Skouras |
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Institution: | 1. Laboratory of Industrial and Energy Economics, School of Chemical Engineering, National Technical University of Athens, Greece;2. Department of International and European Economic Studies, Athens University of Economics and Business, Greece |
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Abstract: | We show that exact computation of a family of ‘max weighted score’ estimators, including Manski’s max score estimator, can be achieved efficiently by reformulating them as mixed integer programs (MIP) with disjunctive constraints. The advantage of our MIP formulation is that estimates are exact and can be computed using widely available solvers in reasonable time. In a classic work-trip mode choice application, our method delivers exact estimates that lead to a different economic interpretation of the data than previous heuristic estimates. In a small Monte Carlo study we find that our approach is computationally efficient for usual estimation problem sizes. |
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Keywords: | C25 C61 C63 C87 |
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