Imagen de Portada
Código QR

Estimation and Inference by Stochastic Optimization: Three Examples.

The article discusses about Stochastic Optimization. Topics of discussion includes Bootstrap inference approximates the asymptotic distribution but requires repeated optimization. Newton-Raphson algorithm provides consistent estimates and valid standard errors in optimizer. A resampling-based indire...

Descripción completa

Publicado en:AEA Papers & Proceedings Vol. 111; pp. 626 - 631
Autores principales: FORNERON, JEAN-JACQUES, NG, SERENA
Formato: Artículo
Publicado: American Economic Association May2021
Materias:
Stochastic difference equations
Inferential statistics
Asymptotic distribution
Mathematical optimization
Newton-Raphson method
Resampling (Statistics)
Acceso en línea:Ver este registro en EBSCOhost
Sumario:The article discusses about Stochastic Optimization. Topics of discussion includes Bootstrap inference approximates the asymptotic distribution but requires repeated optimization. Newton-Raphson algorithm provides consistent estimates and valid standard errors in optimizer. A resampling-based indirect inference estimator produces standard errors but is efficient by classical optimization.