ESTIMATING GENERALIZED METHOD OF MOMENTS BY USING GENETIC ALGORITHM

• Main Author: Nur, Wahyudin
• Format: Theses
• Language: Indonesia
• Subjects: Matematika
• Online Access: https://digilib.itb.ac.id/gdl/view/33802
• Institution: Institut Teknologi Bandung

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.