Jeff Gable


Staff working papers

Analytical Derivatives for Markov Switching Models

Staff Working Paper 1995-7 Jeff Gable, Simon van Norden, Robert Vigfusson
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 […]

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