Gradient methods in FIML estimation of econometric models
AbstractThrough Monte Carlo experiments, this paper compares the performances of different gradient optimization algorithms, when performing full information maximum likelihood (FIML) estimation of econometric models. Different matrices are used (Hessian, outer products matrix, GLS-type matrix, as well as a mixture of them).
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24843.
Date of creation: 1985
Date of revision:
Hessian matrix; outer products; maximum likelihood; gradient methods; optimization;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
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- Belsley, David A., 1980. "On the efficient computation of the nonlinear full-information maximum-likelihood estimator," Journal of Econometrics, Elsevier, Elsevier, vol. 14(2), pages 203-225, October.
- E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
- Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, Econometric Society, vol. 37(2), pages 171-92, April.
- Parke, William R, 1982. "An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models," Econometrica, Econometric Society, Econometric Society, vol. 50(1), pages 81-95, January.
- Dagenais, Marcel G, 1978. "The Computation of FIML Estimates as Iterative Generalized Least Squares Estimates in Linear and Nonlinear Simultaneous Equations Models," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1351-62, November.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1983. "Hessian and approximated Hessian matrices in maximum likelihood estimation: a Monte Carlo study," MPRA Paper 28847, University Library of Munich, Germany.
- Weihs, Claus & Calzolari, Giorgio & Panattoni, Lorenzo, 1986. "The behavior of trust-region methods in FIML estimation," MPRA Paper 24122, University Library of Munich, Germany, revised 1987.
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