IDEAS home Printed from https://ideas.repec.org/p/rjr/wpiecf/080825.html
   My bibliography  Save this paper

Stochastic Optimization in Econometric Models – A Comparison of GA, SA and RSG

Author

Listed:
  • Agapie, Adriana

Abstract

This paper shows that, in case of an econometric model with a high sensitivity to data, using stochastic optimization algorithms is better than using classical gradient techniques. In addition, we showed that the Repetitive Stochastic Guesstimation (RSG) algorithm –invented by Charemza-is closer to Simulated Annealing (SA) than to Genetic Algorithms (GAs), so we produced hybrids between RSG and SA to study their joint behavior. The evaluation of all algorithms involved was performed on a short form of the Romanian macro model, derived from Dobrescu (1996). The subject of optimization was the model’s solution, as function of the initial values (in the first stage) and of the objective functions (in the second stage). We proved that a priori information help “elitist “ algorithms (like RSG and SA) to obtain best results; on the other hand, when one has equal believe concerning the choice among different objective functions, GA gives a straight answer. Analyzing the average related bias of the model’s solution proved the efficiency of the stochastic optimization methods presented.

Suggested Citation

  • Agapie, Adriana, 2008. "Stochastic Optimization in Econometric Models – A Comparison of GA, SA and RSG," Working Papers of Institute for Economic Forecasting 080825, Institute for Economic Forecasting.
  • Handle: RePEc:rjr:wpiecf:080825
    as

    Download full text from publisher

    File URL: http://www.ipe.ro/RePEc/WorkingPapers/wpiecf080825.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Charemza, Wojciech W, 2002. "Guesstimation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(6), pages 417-433, September.
    2. Dobrescu, Emilian, 1996. "Macromodels of the Romanian transition Economy," MPRA Paper 35810, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dobrescu, Emilian, 2004. "Economia Romaniei in perioada 2003-2010: Estimari de macromodel [Romanian economy during 2003-2010: Macromodel estimations]," MPRA Paper 35768, University Library of Munich, Germany.
    2. Dobrescu, Emilian, 2007. "Modelling The Romanian Economy: Some Data Problems," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 4(1), pages 7-25, March.
    3. Caraiani, Petre, 2007. "An Analysis of the Fluctuations in the Romanian Economy using the Real Business Cycles Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 4(2), pages 76-86, June.
    4. Jaanika Meriküll, 2004. "Macroeconometric Modelling of the Estonian Economy," University of Tartu - Faculty of Economics and Business Administration, in: Modelling the Economies of the Baltic Sea Region, volume 17, chapter 5, pages 138-166, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    5. Florin-Marius PAVELESCU, 2011. "Methodological implications of the of extension of the number of considered markets in a non-Walrasian equilibrium model," Romanian Journal of Economics, Institute of National Economy, vol. 33(2(42)), pages 203-215, December.
    6. Emilian Dobrescu, 2006. "Integration of Macroeconomic Behavioural Relationships and the Input-output Block (Romanian Modelling Experience)," EcoMod2006 272100018, EcoMod.
    7. Albu, Lucian-Liviu, 2003. "Estimating contribution of factors to long-term growth in Romania," MPRA Paper 14729, University Library of Munich, Germany.
    8. Albu, Lucian Liviu & Roudoi, Andrei, 2003. "Scenarios Of Economic Development In Romania – Medium To Long-Term Forecasting Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(5), pages 64-77, December.
    9. Gaftea, Viorel, 2013. "The Input-Output Modeling Approach to the National Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 211-222, June.
    10. Dobrescu, Emilian, 2002. "Macromodel Estimation for the Romanian "Pre-Accession Economic Programme"," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(5), pages 5-38, December.
    11. Albu, Lucian-Liviu, 2003. "Underground economy modelling: simple models with complicated dynamics," MPRA Paper 12447, University Library of Munich, Germany.
    12. Moisa, Altar & Necula, Ciprian & Bobeica, Gabriel, 2010. "Estimating Potential GDP for the Romanian Economy. An Eclectic Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-25, September.
    13. Oana GHERGHINESCU & Paul RINDERU, 2011. "Econometric Models for Analysing the Structural Funds Absorption at Regional Level - Case Study SW Region," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 4(3(15)), pages 161-174.
    14. Dobrescu, Emilian, 2002. "Introduction into Macroeconomic Modeling Foundations," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(5), pages 39-88, December.
    15. Stanica, Cristian Nicolae, 2013. "Using a Macroeconomic Model to Check Forecast Consistency," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 119-135, March.
    16. Stanica, Cristian Nicolae, 2011. "Modeling Government Policies used for Sustaining Economic Growth in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 90-105, December.
    17. Ghizdeanu, Ion & Bria, Tiuta, 2007. "Contribution of Institutional Sectors to Economic Growth," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 4(3), pages 54-62, September.
    18. Dobrescu, Emilian, 2001. "Evoluţia macromodelului economiei româneşti de tranzitie [The evolution of the Romanian model for the transition economy]," MPRA Paper 35798, University Library of Munich, Germany.
    19. Pavelescu, Marius Florin, 2013. "Dynamics of Fixed Capital Productivity and the Macroeconomic Equilibrium," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 145-158, June.
    20. Dobrescu, Emilian, 2006. "Double-Conditioned Potential Output," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 3(1), pages 32-50, March.

    More about this item

    Keywords

    underground economy; Laffer curve; informal activity; fiscal policy; transitionmacroeconomic model; stochastic optimization; evolutionary algorithms; Repetitive Stochastic Guesstimation;
    All these keywords.

    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rjr:wpiecf:080825. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Corina Saman The email address of this maintainer does not seem to be valid anymore. Please ask Corina Saman to update the entry or send us the correct address (email available below). General contact details of provider: https://edirc.repec.org/data/ipacaro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.