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Implementing Convex Optimization in R: Two Econometric Examples

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  • Zhan Gao
  • Zhentao Shi

Abstract

Economists specify high-dimensional models to address heterogeneity in empirical studies with complex big data. Estimation of these models calls for optimization techniques to handle a large number of parameters. Convex problems can be effectively executed in modern statistical programming languages. We complement Koenker and Mizera (2014)'s work on numerical implementation of convex optimization, with focus on high-dimensional econometric estimators. Combining R and the convex solver MOSEK achieves faster speed and equivalent accuracy, demonstrated by examples from Su, Shi, and Phillips (2016) and Shi (2016). Robust performance of convex optimization is witnessed cross platforms. The convenience and reliability of convex optimization in R make it easy to turn new ideas into prototypes.

Suggested Citation

  • Zhan Gao & Zhentao Shi, 2018. "Implementing Convex Optimization in R: Two Econometric Examples," Papers 1806.10423, arXiv.org, revised Aug 2019.
    • Handle: RePEc:arx:papers:1806.10423
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    References listed on IDEAS

    as
    1. Liangjun Su & Zhentao Shi & Peter C. B. Phillips, 2016. "Identifying Latent Structures in Panel Data," Econometrica, Econometric Society, vol. 84, pages 2215-2264, November.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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    6. Xun Lu & Liangjun Su, 2017. "Determining the number of groups in latent panel structures with an application to income and democracy," Quantitative Economics, Econometric Society, vol. 8(3), pages 729-760, November.
    7. Su, Liangjun & Ju, Gaosheng, 2018. "Identifying latent grouped patterns in panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 206(2), pages 554-573.
    8. Koenker, Roger & Mizera, Ivan, 2014. "Convex Optimization in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 60(i05).
    9. Nash, John C. & Varadhan, Ravi, 2011. "Unifying Optimization Algorithms to Aid Software System Users: optimx for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 43(i09).
    10. Nikolay Doudchenko & Guido W. Imbens, 2016. "Balancing, Regression, Difference-In-Differences and Synthetic Control Methods: A Synthesis," NBER Working Papers 22791, National Bureau of Economic Research, Inc.
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    More about this item

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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