Global Optimization of Econometric Functions

Max E. Jerrell, Wendy A Campione

Research output: Contribution to journalArticle

9 Citations (Scopus)

Abstract

Estimating the values of the parameter estimates of econometric functions (maximum likelihood functions or nonlinear least squares functions) are often challenging global optimization problems. Determining the global optimum for these functions is necessary to understand economic behavior and to develop effective economic policies. These functions often have flat surfaces or surfaces characterized by many local optima. Classical deterministic optimization methods often do not yield successful results. For that reason, stochastic optimization methods are becoming widely used in econometrics. Selected stochastic methods are applied to two difficult econometric functions to determine if they might be useful in estimating the parameters of these functions.

Original languageEnglish (US)
Pages (from-to)273-295
Number of pages23
JournalJournal of Global Optimization
Volume20
Issue number3-4
DOIs
StatePublished - Aug 2001

Fingerprint

Global optimization
Econometrics
econometrics
Global Optimization
Stochastic Methods
Optimization Methods
economic policy
Economics
Square Functions
Nonlinear Least Squares
Stochastic Optimization
Global Optimum
Likelihood Function
Maximum Likelihood
economics
method
Optimization Problem
Maximum likelihood
Necessary
parameter

Keywords

  • Econometrics
  • Maximum likelihood estimation
  • Stochastic optimization methods

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Global and Planetary Change
  • Applied Mathematics
  • Control and Optimization

Cite this

Global Optimization of Econometric Functions. / Jerrell, Max E.; Campione, Wendy A.

In: Journal of Global Optimization, Vol. 20, No. 3-4, 08.2001, p. 273-295.

Research output: Contribution to journalArticle

Jerrell, Max E. ; Campione, Wendy A. / Global Optimization of Econometric Functions. In: Journal of Global Optimization. 2001 ; Vol. 20, No. 3-4. pp. 273-295.
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