optimization algorithms

Econometrics questions and discussions
kenjudd
Posts: 1
Joined: Tue May 31, 2022 4:37 pm

optimization algorithms

Unread post by kenjudd »

What optimization algorithms are used to compute maximum likelihood? Is automatic differentiation done by RATS or is the default finite difference derivatives?
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: optimization algorithms

Unread post by TomDoan »

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).
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