IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Automatic Differentiation and Interval Arithmetic for Estimation of Disequilibrium Models

  • Max E. Jerrell

    ()

    (College of Business Administration, Northern Arizona University)

Registered author(s):

    Fair and Jaffeen[Fair and Jaffee1972] considered the econometrics of models of markets which were not in equilibrium. The estimation of disequilibrium models has proved difficult. Because of this the model was chosen to be a member of a test suite of optimization problems by Dorsey and Mayern[Dorsey a nd Mayer1955] to compare various optimization techniques. Dorsey and Mayer were chiefly interested in evaluating newly developed global optimization techniques, particularly simulated annealing and genetic algorithms as applied to troubling problems. They find that the disequilibrium model also was a difficult estimation problem for both simulated annealing and genetic algorithms. They do not report success for either technique.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.unige.ch/ce/ce96/ps/jerrell.eps
    Download Restriction: no

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1996 with number _028.

    as
    in new window

    Length:
    Date of creation:
    Date of revision:
    Handle: RePEc:sce:scecf6:_028
    Contact details of provider: Postal: Department of Econometrics, University of Geneva, 102 Bd Carl-Vogt, 1211 Geneva 4, Switzerland
    Web page: http://www.unige.ch/ce/ce96/welcome.html

    More information through EDIRC

    References listed on IDEAS
    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.:

    as in new window
    1. Jerrell, Max E, 1994. "Global Optimization Using Interval Arithmetic," Computational Economics, Society for Computational Economics, vol. 7(1), pages 55-62, February.
    2. Goffe, William L & Ferrier, Gary D & Rogers, John, 1992. "Simulated Annealing: An Initial Application in Econometrics," Computer Science in Economics & Management, Society for Computational Economics, vol. 5(2), pages 133-46, May.
    3. Kalaba, Robert E. & Plum, Thomas & Tesfatsion, Leigh S., 1987. "Automation of Nested Matrix and Derivative Operations," Staff General Research Papers 11202, Iowa State University, Department of Economics.
    4. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-30, November.
    5. Kalaba, Robert & Tishler, Asher, 1984. "Automatic Derivative Evaluation in the Optimization of Nonlinear Models," The Review of Economics and Statistics, MIT Press, vol. 66(4), pages 653-60, November.
    6. Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
    7. Tesfatsion, Leigh, 1991. "Automatic Evaluation of Higher-Order Partial Derivatives for Nonlocal Sensitivity Analysis," Staff General Research Papers 11183, Iowa State University, Department of Economics.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:sce:scecf6:_028. 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: (Christopher F. Baum)

    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 references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.