PRIOR INFORMATION IN ECONOMETRIC GLOBAL OPTIMIZATION PROBLEMS: A BOOTSTRAP APPROACH

Adriana Agapie ()

Journal for Economic Forecasting, 2000, issue 4, pages 110-121

Abstract: The paper analyzes the regression problem for small and undersized sample. Two classical algorithms are compared: Simulated Annealing (SA) versus Repetitive Stochastic Guesstimation (RSG). An improved version of RSG is built and compared to the previous two algorithms. The author concludes that a complete comparison among SA, RSG and RSGBOOT has to be done preliminary on every model to be estimated since these stochastic optimization algorithms are very sensitive to model specification.

Keywords: optimization algorithms; SA; RSG; RSGBOOT; Monte Carlo (search for similar items in EconPapers)
JEL-codes: C61 C8 C01 (search for similar items in EconPapers)
Date: 2000

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Persistent link: http://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2000:i:4:p:110-121

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