Robert Vigfusson - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:03:17+00:00Analytical Derivatives for Markov Switching Models
https://www.bankofcanada.ca/1995/08/working-paper-1995-7/
This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients […]1995-08-01T14:37:40+00:00enAnalytical Derivatives for Markov Switching Models1995-08-01Econometric and statistical methodsWorking Paper 1995-7 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp95-7.pdfAnalytical Derivatives for Markov Switching ModelsJeff GableSimon van NordenRobert VigfussonAugust 1995