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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| Format: | Article |
| Language: | English |
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MDPI AG
2015-01-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/3/1/65 |
| _version_ | 1811187589308219392 |
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| author | Frauke Schleer |
| author_facet | Frauke Schleer |
| author_sort | Frauke Schleer |
| collection | DOAJ |
| description | 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 optimization procedures, namely differential evolution, threshold accepting, and simulated annealing. In the equation-by-equation starting-value search approach the procedures achieve equally good results. Unless the errors are cross-correlated, equation-by-equation search followed by a derivative-based algorithm can handle such an optimization problem sufficiently well. This result holds also for higher-dimensional Vector STAR models with a slight edge for heuristic methods. For more complex Vector STAR models which require a multivariate search approach, simulated annealing and differential evolution outperform threshold accepting and the grid search. |
| first_indexed | 2024-04-11T14:04:59Z |
| format | Article |
| id | doaj.art-94078bc2a5aa47b089cba1524b03bd21 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-11T14:04:59Z |
| publishDate | 2015-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-94078bc2a5aa47b089cba1524b03bd212022-12-22T04:19:55ZengMDPI AGEconometrics2225-11462015-01-0131659010.3390/econometrics3010065econometrics3010065Finding Starting-Values for the Estimation of Vector STAR ModelsFrauke Schleer0Centre for European Economic Research (ZEW), P.O. Box 103443, Mannheim D-68034, GermanyThis 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 optimization procedures, namely differential evolution, threshold accepting, and simulated annealing. In the equation-by-equation starting-value search approach the procedures achieve equally good results. Unless the errors are cross-correlated, equation-by-equation search followed by a derivative-based algorithm can handle such an optimization problem sufficiently well. This result holds also for higher-dimensional Vector STAR models with a slight edge for heuristic methods. For more complex Vector STAR models which require a multivariate search approach, simulated annealing and differential evolution outperform threshold accepting and the grid search.http://www.mdpi.com/2225-1146/3/1/65Vector STAR modelstarting-valuesoptimization heuristicsgrid searchestimationnon-linearieties |
| spellingShingle | Frauke Schleer Finding Starting-Values for the Estimation of Vector STAR Models Econometrics Vector STAR model starting-values optimization heuristics grid search estimation non-linearieties |
| title | Finding Starting-Values for the Estimation of Vector STAR Models |
| title_full | Finding Starting-Values for the Estimation of Vector STAR Models |
| title_fullStr | Finding Starting-Values for the Estimation of Vector STAR Models |
| title_full_unstemmed | Finding Starting-Values for the Estimation of Vector STAR Models |
| title_short | Finding Starting-Values for the Estimation of Vector STAR Models |
| title_sort | finding starting values for the estimation of vector star models |
| topic | Vector STAR model starting-values optimization heuristics grid search estimation non-linearieties |
| url | http://www.mdpi.com/2225-1146/3/1/65 |
| work_keys_str_mv | AT fraukeschleer findingstartingvaluesfortheestimationofvectorstarmodels |