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A Computationally Efficient Algorithm to Solve Generalized Method of Moments Estimating Equations Based on Secant Procedure
Naushad Ali Mamode Khan, M. Heenaye
Pages - 28 - 33 | Revised - 01-07-2011 | Published - 05-08-2011
MORE INFORMATION
KEYWORDS
Newton-Raphson, Jacobian, Quadratic Inference Function
ABSTRACT
Generalized method of moment estimating function enables one to estimate regression parameters consistently and efficiently. However, it involves one major computational problem: in complex data settings, solving generalized method of moments estimating function via Newton-Raphson technique gives rise often to non-invertible Jacobian matrices. Thus, parameter estimation becomes unreliable and computationally inefficient. To overcome this problem, we propose to use secant method based on vector divisions instead of the usual Newton-Raphson technique to estimate the regression parameters. This new method of estimation demonstrates a decrease in the number of non-convergence iterations as compared to the Newton-Raphson technique and provides reliable estimates.
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Dr. Naushad Ali Mamode Khan
University of Mauritius - Mauritius
n.mamodekhan@uom.ac.mu
Dr. M. Heenaye
- Mauritius
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