Recursive Score and Hessian Computation in Regime-Switching Models

Chaojun Li and Shi Qiu ()

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Abstract: This study proposes a recursive and easy-to-implement algorithm to compute the score and Hessian matrix in general regime-switching models. We use simulation to compare the asymptotic variance estimates constructed from the Hessian matrix and the outer product of the score. The results favor the latter.

Date: 2022-05, Revised 2026-01
New Economics Papers: this item is included in nep-cmp and nep-ecm
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