BibTeX
@INCOLLECTION{
         Bastani2008OtA,
       author = "Houtan Bastani and Luca Guerrieri",
       title = "On the Application of Automatic Differentiation to the Likelihood Function for Dynamic
         General Equilibrium Models",
       doi = "10.1007/978-3-540-68942-3_27",
       pages = "303--313",
       abstract = "A key application of automatic differentiation (AD) is to facilitate numerical
         optimization problems. Such problems are at the core of many estimation techniques, including
         maximum likelihood. As one of the first applications of AD in the field of economics, we used
         Tapenade to construct derivatives for the likelihood function of any linear or linearized general
         equilibrium model solved under the assumption of rational expectations. We view our main
         contribution as providing an important check on finite-difference (FD) numerical derivatives. We
         also construct Monte Carlo experiments to compare maximum-likelihood estimates obtained with and
         without the aid of automatic derivatives. We find that the convergence rate of our optimization
         algorithm can increase substantially when we use AD derivatives.",
       crossref = "Bischof2008AiA",
       booktitle = "Advances in Automatic Differentiation",
       publisher = "Springer",
       editor = "Christian H. Bischof and H. Martin B{\"u}cker and Paul D. Hovland and Uwe
         Naumann and J. Utke",
       isbn = "978-3-540-68935-5",
       issn = "1439-7358",
       year = "2008",
       ad_area = "Economics",
       ad_tools = "TAPENADE"
}