The behavior of trust-region methods in FIML estimation

Weihs, Claus and Calzolari, Giorgio and Panattoni, Lorenzo (1986): The behavior of trust-region methods in FIML estimation. Published in: Computing , Vol. 38, No. 38 (1987): pp. 89-100.

Abstract

This paper presents a Monte-Carlo study on the practical reliability of numerical algorithms for FIML-estimation in nonlinear econometric models. The performance of different techniques of Hessian approximation in trust-region algorithms is compared regarding their "robustness" against "bad" starting points and their "global" and "local" convergence speed, i.e. the gain in the objective function, caused by individual iteration steps far off from and near to the optimum. Concerning robustness and global convergence speed the crude GLS-type Hessian approximations performed best, efficiently exploiting the special structure of the likelihood function. But, concerning local speed, general purpose techniques were strongly superior. So, some appropriate mixtures of these two types of approximations turned out to be the only techniques to be recommended.

• Item Type: MPRA Paper
• Language: English
• Keywords: Econometrics; Monte Carlo methods; numerical methods; trust-region methods; FIML estimation
• Subjects: C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C30 - General; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis

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