An alternative estimation algorithm for innovation regime-switching models

Huang, Yu-Lieh

Applied Economics Letters, 2008, vol. 15, issue 3, pages 225-229

Abstract: In this article, we derive an alternative estimation algorithm for the innovation regime-switching model, which avoids the potential divergence problem that may arise from the algorithm proposed by Kuan et al. (2005, JBES). Our simulation demonstrates that the proposed algorithm compares favourably with that of Kuan et al. (2005), in terms of both numerical accuracy and computing time.

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