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Prior Information In Econometric Global Optimization Problems: A Bootstrap Approach

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Author Info

  • Agapie, Adriana

    ()
    (Institute for Economic Forecasting, Romanian Academy, Bucharest)

Abstract

The paper analyzes the regression problem for small and undersized sample. Two classical algorithms are compared: Simulated Annealing (SA) versus Repetitive Stochastic Guesstimation (RSG). An improved version of RSG is built and compared to the previous two algorithms. The author concludes that a complete comparison among SA, RSG and RSGBOOT has to be done preliminary on every model to be estimated since these stochastic optimization algorithms are very sensitive to model specification.

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Bibliographic Info

Article provided by Institute for Economic Forecasting in its journal Journal for Economic Forecasting.

Volume (Year): (2000)
Issue (Month): 4 (December)
Pages: 110-121

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Handle: RePEc:rjr:romjef:v::y:2000:i:4:p:110-121

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Related research

Keywords: optimization algorithms; SA; RSG; RSGBOOT; Monte Carlo;

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