By David F. Hendry, Jean-François Richard (auth.), Hans M. Amman, David A. Belsley, Louis F. Pau (eds.)
The box of Computational Economics is a quick becoming sector. a result of barriers in analytical modeling, a growing number of researchers observe numerical tools as a way of challenge fixing. In tum those quantitative effects can be utilized to make qualitative statements. This quantity of the complicated sequence in Theoretical and utilized and Econometrics contains a specific variety of papers within the box of computational economics offered on the Annual assembly of the Society fiscal Dynamics and regulate held in Minneapolis, June 1990. the quantity covers ten papers facing computational matters in Econo metrics, Economics and Optimization. the 1st 5 papers in those complaints are devoted to numerical concerns in econometric estimation. the subsequent 3 papers are excited by computational matters in version fixing and optimization. The final papers spotlight a few numerical concepts for fixing micro versions. we're convinced that Computational Economics becomes a tremendous new pattern in Economics within the coming decade. optimistically this quantity should be one of many first contributions highlighting this new development. The Editors H.M. Amman et a1. (eds), Computational Economics and Econometrics, vii. © 1992 Kluwer educational Publishers. half ONE ECONOMETRICS probability evaluate FOR DYNAMIC LATENT VARIABLES 1 types DAVID F. HENDRY Nuffield collage, Oxford, U.K. and JEAN-FRANc;mS RICHARD ISDS, Pittsburgh college, Pittsburgh, PA, U.S.A.
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Extra info for Computational Economics and Econometrics
Readers unfamiliar with the standard results regarding the identification and estimation of simUltaneous-systems are referred to such texts as Theil (1971) or Johnston (1984). Readers unfamiliar with the test for the adequacy of signal-to-noise are referred to Belsley (1982). Consider, then, the simultaneous system of linear equations Yf+XB+U=O, (2) where Y is an n x 9 matrix of 9 endogenous variates, X is an n x k matrix of k predetermined variates, U is an n x 9 matrix of temporally independent error terms with mean zero and nonsingular contemporaneous variance-covariance matrix B, and f and B are, respectively, 9 x 9 and 9 x k matrices of parameters to be estimated.
This paper was funded in part through a guest scholarship at the Rheinisch-Westfalisches Institut fiir Wirtschaftsforschung, Essen. West Germany, and in part through NSF Grant SES-8420614. 2 See Malinvaud (1970). M. Amman et al. (eds), Computational Economics and Econometrics, 55-62. © 1992 Kluwer Academic Publishers. 56 DAVID A. BELSLEY Yl = ')'1 + 'Y2 Y2 + (31 Xl + e , (1) is part of a simultaneous system of equations, where the YiS are endogenous and Xl is exogenous. Further, assume this equation is identifiable.
In conjunction with the algorithm starting out at the existing optimum with each new temperature, the smaller step length focuses the algorithm on the most promising area. The final part of the table shows the results produced by a successful termination of the algorithm. V. Conclusion This paper tests a recently developed algorithm, simulated annealing, on a statistical model that requires optimization for parameter estimation. Compared to the three conventional optimization algorithms from the IMSL library, simulated annealing is shown to be superior.