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...

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Bibliographic Details

Published in:	AEA Papers & Proceedings Vol. 111; pp. 626 - 631
Main Authors:	FORNERON, JEAN-JACQUES, NG, SERENA
Format:	Article
Published:	American Economic Association May2021
Subjects:	Stochastic difference equations Inferential statistics Asymptotic distribution Mathematical optimization Newton-Raphson method Resampling (Statistics)
Online Access:	View this record in EBSCOhost