Analytical Derivatives for Markov Switching Models

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

GE, Growth, Math methods from EconWPA

Abstract: 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 considerably speed up maximum-likelihood estimation with no loss in accuracy. A sample program listing is included.

JEL-codes: C6 D5 D9 (search for similar items in EconPapers)
Date: 1995-08-28
Note: 24 printed pages, compressed PostScript file. Other recent Bank of Canada working papers are listed on the last page of this report.
View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/ge/papers/9508/9508001.pdf (application/pdf)
http://129.3.20.41/eps/ge/papers/9508/9508001.ps.gz (application/postscript)

Related works:
Working Paper: Analytical Derivatives for Markov Switching Models
Journal Article: Analytical Derivatives for Markov Switching Models (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpge:9508001

Access Statistics for this paper

More papers in GE, Growth, Math methods from EconWPA
Series data maintained by EconWPA ().