The devil is in the detail: hints for practical optimisation

Christensen, T.M., Hurn, A.S. and Lindsay, K. (2008) The devil is in the detail: hints for practical optimisation. Economic Analysis and Policy, 38(2), pp. 345-368.

[img] Text


Publisher's URL:


Finding the minimum of an objective function, such as a least squares or negative log-likelihood function, with respect to the unknown model parameters is a problem often encountered in econometrics. Consequently, students of econometrics and applied econometricians are usually well-grounded in the broad differences between the numerical procedures employed to solve these problems. Often, however, relatively little time is given to understanding the practical subtleties of implementing these schemes when faced with illbehaved problems. This paper addresses some of the details involved in practical optimisation, such as dealing with constraints on the parameters, specifying starting values, termination criteria and analytical gradients, and illustrates some of the general ideas with several instructive examples.

Item Type:Articles
Additional Information:JEL Classification C13, C63
Keywords:gradient algorithms, unconstrained optimisation, generalised method of moments.
Glasgow Author(s) Enlighten ID:Lindsay, Professor Kenneth
Authors: Christensen, T.M., Hurn, A.S., and Lindsay, K.
Subjects:H Social Sciences > HA Statistics
College/School:College of Science and Engineering > School of Mathematics and Statistics > Mathematics
Journal Name:Economic Analysis and Policy
Publisher:Economic Society of Australia Inc.
Copyright Holders:Copyright © 2008 Economic Society of Australia Inc.
First Published:First published in Economic Analysis and Policy 38(2):345-368
Publisher Policy:Reproduced in accordance with the copyright policy of the publisher.

University Staff: Request a correction | Enlighten Editors: Update this record