Analytical derivatives for Morkov switching models

DOI10.1023/A:1008671903509zbMath0883.90037OpenAlexW3125082289MaRDI QIDQ1367958

Jeff Gable, Robert Vigfusson, Simon van Norden

Publication date: 23 March 1998

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008671903509

zbMATH Keywords

scoreregime switchingmaximum likelihoodMarkov switchinggradients

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Statistical inference for mixture GARCH models with financial application ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS ⋮ Closed-form likelihood function of Markov-switching models. ⋮ Statistical Analysis Of Mixture Vector Autoregressive Models

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