A review of heuristic optimization methods in econometrics
AbstractEstimation and modelling problems as they arise in many fields often turn out to be intractable by standard numerical methods. One way to deal with such a situation consists in simplifying models and procedures. However, the solutions to these simplified problems might not be satisfying. A different approach consists in applying optimization heuristics such as evolutionary algorithms (Simulated Annealing, Threshold Accepting), Neural Networks, Genetic Algorithms, Tabu Search, hybrid methods and many others, which have been developed over the last two decades. Although the use of these methods became more standard in several fields of sciences, their use in estimation and modelling in econometrics appears to be still limited. We present an introduction to heuristic optimization methods and provide some examples for which these methods are found to work efficiently.
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Bibliographic InfoPaper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 08-12.
Length: 47 pages
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Optimization heuristics; Estimation; Modelling;
Other versions of this item:
- Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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