Analytical Derivatives for Markov Switching Models

Jeff Gable, Simon van Norden () and Robert Vigfusson

GE, Growth, Math methods from University Library of Munich, Germany

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)
Pages: 24 pages
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.
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Analytical Derivatives for Markov Switching Models (1997)
Working Paper: Analytical Derivatives for Markov Switching Models
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpge:9508001

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