IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/24843.html
   My bibliography  Save this paper

Gradient methods in FIML estimation of econometric models

Author

Listed:
  • 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).

Suggested Citation

  • Calzolari, Giorgio & Panattoni, Lorenzo, 1985. "Gradient methods in FIML estimation of econometric models," MPRA Paper 24843, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24843
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/24843/1/MPRA_paper_24843.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. 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, vol. 46(6), pages 1351-1362, November.
    4. 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.
    5. 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.
    6. 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 955-968, May.
    7. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-192, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix," MPRA Paper 28806, University Library of Munich, Germany.
    2. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
    3. 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.
    4. 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.
    5. Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
    6. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna [Estimation of nonlinear simultaneous equations: a survey]," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
    7. Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
    8. Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389, Elsevier.
    9. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
    10. Calzolari, Giorgio & Sampoli, Letizia, 1989. "Instrumental variables interpretations of FIML and nonlinear FIML," MPRA Paper 29024, University Library of Munich, Germany.
    11. Isaiah Hull & Or Sattath & Eleni Diamanti & Göran Wendin, 2024. "Quantum Technology for Economists," Contributions to Economics, Springer, number 978-3-031-50780-9.
    12. van der Loeff, S. Schim, 1985. "Limited Information Maximum Likelihood Estimation Of A Subsystem Of Nonlinear Equations," Econometric Institute Archives 272294, Erasmus University Rotterdam.
    13. Bianchi, Carlo & Calzolari, Giorgio, 1982. "Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods," MPRA Paper 22559, University Library of Munich, Germany.
    14. Chernozhukov, Victor & Hong, Han, 2003. "An MCMC approach to classical estimation," Journal of Econometrics, Elsevier, vol. 115(2), pages 293-346, August.
    15. Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Finite sample performance of the robust Wald test in simultaneous equation systems," MPRA Paper 22557, University Library of Munich, Germany.
    16. van Dijk, H. K. & Kloek, T., 1982. "Posterior Moments Of The Klein-Goldberger Model," Econometric Institute Archives 272269, Erasmus University Rotterdam.
    17. Chirinko, Robert S., 1995. "Nonconvexities, labor hoarding, technology shocks, and procyclical productivity a structural econometric analysis," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 61-98.
    18. Jansson, Leif & Mellander, Erik, 1984. "CONRAD – A Maximum Likelihood Program for Estimation of Simultaneous Equations Models that are Non-Linear in the Parameters," Working Paper Series 131, Research Institute of Industrial Economics.
    19. Matteo Manera, 2006. "Modelling factor demands with SEM and VAR: an empirical comparison," Journal of Productivity Analysis, Springer, vol. 26(2), pages 121-146, October.
    20. Shijiang Chen & Mingyue Liang & Wen Yang, 2022. "Does Digital Financial Inclusion Reduce China’s Rural Household Vulnerability to Poverty: An Empirical Analysis From the Perspective of Household Entrepreneurship," SAGE Open, , vol. 12(2), pages 21582440221, June.

    More about this item

    Keywords

    Hessian matrix; outer products; maximum likelihood; gradient methods; optimization;
    All these keywords.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24843. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.