Finding Starting-Values for the Estimation of Vector STAR Models

Finding Starting-Values for the Estimation of Vector STAR Models

This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic optimizat...

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Bibliographic Details
Main Author: Frauke Schleer
Format: Article
Language:English
Published: MDPI AG 2015-01-01
Series:Econometrics
Subjects:
Vector STAR model
starting-values
optimization heuristics
grid search
estimation
non-linearieties
Online Access:http://www.mdpi.com/2225-1146/3/1/65

Internet

http://www.mdpi.com/2225-1146/3/1/65

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