arXiv 17 Jan 2023 · Econometrics · 2 citations (OpenAlex)
arXiv:2301.07196 · PDF · DOI · OpenAlex · Extracted main text
A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper proposes a simple algorithm designed to find accurate solutions without performing an exhaustive search. It augments each iteration from a new Gauss-Newton algorithm with a grid search step. A finite sample analysis derives its optimization and statistical properties simultaneously using only econometric assumptions. After a finite number of iterations, the algorithm automatically transitions from global to fast local convergence, producing accurate estimates with high probability. Simulated examples and an empirical application illustrate the results.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Honoré, B. E. and Á. de Paula (2018) A new model for interdependent durations | 0.950 | 7 | 3 | 86% |
| 2 | Andrews, D. W (1997) A stopping rule for the computation of generalized method of moments estimators | 0.874 | 9 | 4 | 67% |
| 3 | Bruins, M., J. A. Duffy, M. P. Keane, and A. A. Smith Jr (2018) Generalized indirect inference for discrete choice models | 0.874 | 5 | 2 | 100% |
| 4 | Robinson, P. M (1988) The stochastic difference between econometric statistics | 0.843 | 5 | 4 | 60% |
| 5 | Chen, X. and Z. Liao (2015) Sieve semiparametric two-step GMM under weak dependence | 0.644 | 2 | 2 | 100% |
| 6 | Forneron, J.-J. and L. Zhong (2022) Convexity Not Required: Estimation of Smooth Moment Condition Models self | 0.644 | 2 | 2 | 100% |
| 7 | van der Vaart, A. W. and J. A. Wellner (1996) Weak Convergence and Empirical Processes | 0.585 | 4 | 3 | 25% |
| 8 | Nocedal, J. and S. Wright (2006) Numerical Optimzation | 0.511 | 2 | 2 | 50% |
| 9 | Ackerberg, D. A (2009) A new use of importance sampling to reduce computational burden in simulation estimation | 0.511 | 2 | 1 | 100% |
| 10 | Griewank, A. O (1981) Generalized descent for global optimization | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 64 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Convexity Not Required: Estimation of Smooth Moment Condition Models | 0.737 | 3 | 3 |
| 2 | Estimation and Inference by Stochastic Optimization | 0.644 | 2 | 2 |
| 3 | Information Based Inference in Models with Set-Valued Predictions and Misspecification | 0.405 | 1 | 1 |