Estimation de modeles autoregressifs a changement de regime markovien

J. Rynkiewicz

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: Dans ce rapport, nous donnons un calcul analytique du gradient de la log-vraisemblance dans le cas gaussien. Nous étudions aussi un estimateur recursif qui donne de bons resultats sur des donnees simulees.

Keywords: MODELES ECONOMETRIQUES; EVALUATION; CROISSANCE ECONOMIQUE (search for similar items in EconPapers)
JEL-codes: C13 C35 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:2000.60

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