zhan-gao/convex_prog_in_econometrics

This is the accompanying repository for "Implementing Convex Optimization in R: Two Econometric Examples"

Introduction

This repository hosts the files and code for

• Zhan Gao and Zhentao Shi (2020): Implementing Convex Optimization in R: Two Econometric Examples
  • Main text
  • Supplement
  • The R script gao-shi-rmosek.R replicates the simulations

For replication, the convex solver Mosek and the R package Rmosek must be installed.