Optimization routine
Posted: Wed Nov 25, 2015 9:21 amHello. Which optimization algorithm do you use when you solve MS-BSVAR? Any reference or code please. Thank you in advance.
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Optimization routine
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Posted: Wed Nov 25, 2015 9:21 amRe: Optimization routine
Posted: Wed Nov 25, 2015 10:07 amIt uses a version of csminwel, see http://sims.princeton.edu/yftp/optimize/