optimization algorithms

Econometrics questions and discussions

optimization algorithms

Unread postby kenjudd » Tue May 31, 2022 5:02 pm

What optimization algorithms are used to compute maximum likelihood? Is automatic differentiation done by RATS or is the default finite difference derivatives?
Posts: 1
Joined: Tue May 31, 2022 4:37 pm

Re: optimization algorithms

Unread postby TomDoan » Tue May 31, 2022 10:44 pm

The variational methods listed in https://estima.com/ratshelp/optimizationmethods.html do numerical derivatives only, though you can choose several different levels of accuracy (with a corresponding increase in calculation time for greater accuracy).
Posts: 7388
Joined: Wed Nov 01, 2006 5:36 pm

Return to General Econometrics

Who is online

Users browsing this forum: No registered users and 2 guests