Publication: On the Application of Automatic Differentiation to the Likelihood Function for Dynamic General Equilibrium Models
Introduction
Applications
Tools
Research Groups
Workshops
Publications
   List Publications
   Advanced Search
   Info
   Add Publications
My Account
About

On the Application of Automatic Differentiation to the Likelihood Function for Dynamic General Equilibrium Models

- incollection -
 

Area
Economics

Author(s)
Houtan Bastani , Luca Guerrieri

Published in
Advances in Automatic Differentiation

Editor(s)
Christian H. Bischof, H. Martin Bücker, Paul D. Hovland, Uwe Naumann, J. Utke

Year
2008

Publisher
Springer

Abstract
A key application of automatic differentiation (ad) is to facilitate numerical optimization problems. Such problems are at the core of many estimation techniques, including maximum likelihood. As one of the first applications of ad in the field of economics, we used TAPENADE to construct derivatives for the likelihood function of any linear or linearized general equilibrium model solved under the assumption of rational expectations. We view our main contribution as providing an important check on finite-difference (FD) numerical derivatives. We also construct Monte Carlo experiments to compare maximum-likelihood estimates obtained with and without the aid of automatic derivatives. We find that the convergence rate of our optimization algorithm can increase substantially when we use ad derivatives.

Cross-References
Bischof2008AiA

AD Tools
TAPENADE

BibTeX
@INCOLLECTION{
         Bastani2008OtA,
       author = "Houtan Bastani and Luca Guerrieri",
       title = "On the Application of Automatic Differentiation to the Likelihood Function for Dynamic
         General Equilibrium Models",
       doi = "10.1007/978-3-540-68942-3_27",
       pages = "303--313",
       abstract = "A key application of automatic differentiation (AD) is to facilitate numerical
         optimization problems. Such problems are at the core of many estimation techniques, including
         maximum likelihood. As one of the first applications of AD in the field of economics, we used
         Tapenade to construct derivatives for the likelihood function of any linear or linearized general
         equilibrium model solved under the assumption of rational expectations. We view our main
         contribution as providing an important check on finite-difference (FD) numerical derivatives. We
         also construct Monte Carlo experiments to compare maximum-likelihood estimates obtained with and
         without the aid of automatic derivatives. We find that the convergence rate of our optimization
         algorithm can increase substantially when we use AD derivatives.",
       crossref = "Bischof2008AiA",
       booktitle = "Advances in Automatic Differentiation",
       publisher = "Springer",
       editor = "Christian H. Bischof and H. Martin B{\"u}cker and Paul D. Hovland and Uwe
         Naumann and J. Utke",
       isbn = "978-3-540-68935-5",
       issn = "1439-7358",
       year = "2008",
       ad_area = "Economics",
       ad_tools = "TAPENADE"
}


back
  

LinkedIn:    Contact:
autodiff.org
Username:
Password:
(lost password)