Implementing Convex Optimization in R: Two Econometric Examples

Zhan Gao () and Zhentao Shi
Additional contact information
Zhan Gao: University of Southern California

Computational Economics, 2021, vol. 58, issue 4, No 8, 1127-1135

Abstract: Abstract Economists specify high-dimensional models to address heterogeneity in empirical studies with complex big data. Estimation of these models calls for optimization techniques to handle a large number of parameters. Convex problems can be effectively executed in modern programming languages. We complement Koenker and Mizera (J Stat Softw 60(5):1–23, 2014)’s work on numerical implementation of convex optimization, with focus on high-dimensional econometric estimators. Combining R and the convex solver MOSEK achieves speed gain and accuracy, demonstrated by examples from Su et al. (Econometrica 84(6):2215–2264, 2016) and Shi (J Econom 195(1):104–119, 2016). Robust performance of convex optimization is witnessed across platforms. The convenience and reliability of convex optimization in R make it easy to turn new ideas into executable estimators.

Keywords: Big data; Convex optimization; High-dimensional model; Numerical solver (search for similar items in EconPapers)
JEL-codes: C13 C55 C61 C87 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10614-020-09995-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: Implementing Convex Optimization in R: Two Econometric Examples (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09995-z

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-020-09995-z

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().