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Analytical Derivatives for Markov Switching Models

Jeff Gable, Simon van Norden () and Robert Vigfusson ()

Computational Economics, 1997, vol. 10, issue 2, 187-94

Abstract: This paper presents 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 considerably speed up maximum-likelihood estimation. Citation Copyright 1997 by Kluwer Academic Publishers.

Date: 1997
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Working Paper: Analytical Derivatives for Markov Switching Models (1995) Downloads
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