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Gradient methods in FIML estimation of econometric models

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  • Calzolari, Giorgio
  • Panattoni, Lorenzo

Abstract

Through 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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File URL: http://mpra.ub.uni-muenchen.de/24843/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24843.

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Date of creation: 1985
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Handle: RePEc:pra:mprapa:24843

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Related research

Keywords: Hessian matrix; outer products; maximum likelihood; gradient methods; optimization;

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References

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  1. 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.
  2. 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.
  3. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, Econometric Society, vol. 37(2), pages 171-92, April.
  4. 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.
  5. 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.
  6. 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.
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Cited by:
  1. 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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