ESTIMATING GENERALIZED METHOD OF MOMENTS BY USING GENETIC ALGORITHM
Generalized Method of Moments is a method for estimating parameters using sample moments. GMM is used by the researcher specially in economics to determine econometrical models which their distribution function is hardly known. Not only for economics, but GMM also is useful for agriculture, trans...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/33802 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Generalized Method of Moments is a method for estimating parameters using
sample moments. GMM is used by the researcher specially in economics to determine
econometrical models which their distribution function is hardly known. Not
only for economics, but GMM also is useful for agriculture, transportation, health
care, etc. Research methodology for this thesis is review of literature. Ther will be
explanations about (1) Large Sample Properties for GMM, (2) GMM estimators are
asymtotically normal, and (3) the other methods for estimating parameter is special
case for GMM. The point of this thesis is about combination of GMM and Genetic
algorithm. The example for this thesis is estimating parameter for CIR model
by using BI rate. The result of GMM-Genetic algorithm estimators are compared
to the result of GMM-Hybrid algorithm, combination of Marquadt-Levenberg algorithm
and Genetic algorithm. The result shows that GMM estimator with Hybrid
algorithm is better than Genetic. |
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