A Note on Exact Computation of Max Weighted Score Estimators by Mixed Integer Programming
National Technical University of Athens (NTUA)
Athens University of Economics and Business - Department of International and European Economic Studies
August 1, 2007
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.
Number of Pages in PDF File: 22
Keywords: maximum score, mixed integer programming, estimator computation, work-trip mode choice
JEL Classification: C25, C61, C63 , C87working papers series
Date posted: August 16, 2007 ; Last revised: December 8, 2008
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