Arbeitspapier
Finding starting-values for maximum likelihood estimation of vector STAR models
This paper focuses on finding starting-values for maximum likelihood estimation of Vector STAR models. Based on a Monte Carlo exercise, different procedures are evaluated. Their performance is assessed w.r.t. model fit and computational effort. I employ i) grid search algorithms, and ii) heuristic optimization procedures, namely, differential evolution, threshold accepting, and simulated annealing. In the equation-by-equation starting-value search approach the procedures achieve equally good results. Unless the errors are cross-correlated, equation-by-equation search followed by a derivative-based algorithm can handle such an optimization problem sufficiently well. This result holds also for higher-dimensional VSTAR models with a slight edge for the heuristic methods. Being faced with more complex Vector STAR models for which a multivariate search approach is required, simulated annealing and differential evolution outperform threshold accepting and the grid with a zoom.
- Language
-
Englisch
- Bibliographic citation
-
Series: ZEW Discussion Papers ; No. 13-076
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Optimization Techniques; Programming Models; Dynamic Analysis
Computational Techniques; Simulation Modeling
- Subject
-
Vector STAR model
starting-values
optimization heuristics
grid search
estimation
non-linearieties
- Event
-
Geistige Schöpfung
- (who)
-
Schleer, Frauke
- Event
-
Veröffentlichung
- (who)
-
Zentrum für Europäische Wirtschaftsforschung (ZEW)
- (where)
-
Mannheim
- (when)
-
2013
- Handle
- URN
-
urn:nbn:de:bsz:180-madoc-347917
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Schleer, Frauke
- Zentrum für Europäische Wirtschaftsforschung (ZEW)
Time of origin
- 2013
Other Objects (12)
Finding starting-values for maximum likelihood estimation of vector STAR models
Maximum observed likelihood prediction of future record values
Finding starting-values for the estimation of vector STAR models
Maximum-Likelihood-Verfahren
Maximum-Likelihood-Schätzer
Maximum approximated likelihood estimation
Maximum Likelihood Phylodynamic Analysis
A comparison of maximum likelihood and quasi minimax approach to missing values
Maximum-Likelihood-Decodierung von Faltungscodes
Maximum likelihood and economic modeling
Divisive hierarchical maximum likelihood clustering
Vestige: Maximum likelihood phylogenetic footprinting
Finding starting-values for maximum likelihood estimation of vector STAR models
Maximum observed likelihood prediction of future record values
Finding starting-values for the estimation of vector STAR models
Maximum-Likelihood-Verfahren
Maximum-Likelihood-Schätzer
Maximum approximated likelihood estimation
Maximum Likelihood Phylodynamic Analysis
A comparison of maximum likelihood and quasi minimax approach to missing values
Maximum-Likelihood-Decodierung von Faltungscodes
Maximum likelihood and economic modeling
Divisive hierarchical maximum likelihood clustering
Vestige: Maximum likelihood phylogenetic footprinting
Finding starting-values for maximum likelihood estimation of vector STAR models
Maximum observed likelihood prediction of future record values
Finding starting-values for the estimation of vector STAR models
Maximum-Likelihood-Verfahren
Maximum-Likelihood-Schätzer
Maximum approximated likelihood estimation
Maximum Likelihood Phylodynamic Analysis
A comparison of maximum likelihood and quasi minimax approach to missing values
Maximum-Likelihood-Decodierung von Faltungscodes
Maximum likelihood and economic modeling
Divisive hierarchical maximum likelihood clustering