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STICERD Econometrics Seminar Series

Noisy, Non-Smooth, Non-Convex Estimation of Moment Condition Models

Jean-Jacques Forneron (Boston)

Thursday 01 December 2022 14:00 - 15:30

Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.


About this event

A practical challenge for structural estimations is the requirement to 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 standard econometric assumptions. After a finite number of iterations, the algorithm transitions from global to fast local convergence, producing accurate estimates with high-probability. Simulated examples and an empirical application illustrate the properties and performance of the algorithm.

STICERD Econometrics seminars are held on Thursdays in term time at 14.00-15.30, ONLINE, unless specified otherwise.

Seminar organisers: Professor Tai Otsu and Dr. Vassilis Hajivassiliou.

For further information please contact Lubala Chibwe, either by email: l.chibwe@lse.ac.uk.

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