APPLICATIONS OF PUBLIC GLOBAL OPTIMIZATION SOFTWARE TO DIFFICULT ECONOMETRIC FUNCTIONS

Jerrell, Max

APPLICATIONS OF PUBLIC GLOBAL OPTIMIZATION SOFTWARE TO DIFFICULT ECONOMETRIC FUNCTIONS

Max Jerrell
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Max Jerrell: Northern Arizona University

No 161, Computing in Economics and Finance 2000 from Society for Computational Economics

Abstract: The location of the global optimum is very desirable in nonlinear parameter estimation problems. Using a local rather than global optimum most likely will result in inconsistent estimators. While many commercial software packages have good optimization routines, these usually only find local optima. Some of these commercial packages also have only limited capability to express constraints. Likewise, these packages often do not allow users to define their own functions.There is a large and growing amount of freely available software that has a good chance of locating the global optimum. New techniques are being developed and existing methods are being refined. Much of the software can be downloaded over the Internet.This research will survey this software and compare different techniques. Methods of obtaining the software will also be discussed. Finally some of the more promising software will be applied to difficult econometric functions (GARCH models and disequilibrium models).

Date: 2000-07-05
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