The behavior of trust-region methods in FIML estimation
This paper presents a Monte-Carlo study on the practical reliability of numerical algorithms for FIML-estimation in nonlinear econometric models. The performance of different techniques of Hessian approximation in trust-region algorithms is compared regarding their "robustness" against "bad" starting points and their "global" and "local" convergence speed, i.e. the gain in the objective function, caused by individual iteration steps far off from and near to the optimum. Concerning robustness and global convergence speed the crude GLS-type Hessian approximations performed best, efficiently exploiting the special structure of the likelihood function. But, concerning local speed, general purpose techniques were strongly superior. So, some appropriate mixtures of these two types of approximations turned out to be the only techniques to be recommended.
|Date of creation:||1986|
|Date of revision:||1987|
|Publication status:||Published in Computing 38.38(1987): pp. 89-100|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1985. "Gradient methods in FIML estimation of econometric models," MPRA Paper 24843, University Library of Munich, Germany.
- Besley, David A., 1979. "On the computational competitiveness of full-information maximum-likelihood and three-stage least-squares in the estimation of nonlinear, simultaneous-equations models," Journal of Econometrics, Elsevier, vol. 9(3), pages 315-342, February.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
- Parke, William R, 1982. "An Algorithm for FIML and 3SLS Estimation of Large Nonlinear Models," Econometrica, Econometric Society, vol. 50(1), pages 81-95, January.
- Belsley, David A., 1980. "On the efficient computation of the nonlinear full-information maximum-likelihood estimator," Journal of Econometrics, Elsevier, vol. 14(2), pages 203-225, October.
- Calzolari, Giorgio & Panattoni, Lorenzo & Weihs, Claus, 1987. "Computational efficiency of FIML estimation," Journal of Econometrics, Elsevier, vol. 36(3), pages 299-310, November.
- Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-68, May.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24122. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.