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Optimization routine
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Optimization routine
by bercerder » Wed Nov 25, 2015 9:21 am
Hello. Which optimization algorithm do you use when you solve MS-BSVAR? Any reference or code please. Thank you in advance.
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Re: Optimization routine
by jpfeifer » Wed Nov 25, 2015 10:07 am
It uses a version of csminwel, see http://sims.princeton.edu/yftp/optimize/
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