Arbeitspapier
A Markov Switching Cookbook
This paper examines maximum likelihood estimation via hill climbing and the expectations maximization (EM) algorithm in the context of Hamilton's Markov switching framework. The techniques are explained in detail and are followed by a discussion of both analytic and computational issues. Both algorithms tend to be computer intensive, but an approximation technique is shown to significantly reduce the computational demands of the EM algorithm relative to a Davidon Fletcher Powell hill-climbing routine.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 1998-17
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Subject
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EM algorithm
Markov switching
- Event
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Geistige Schöpfung
- (who)
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Mizrach, Bruce
Watkins, James
- Event
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Veröffentlichung
- (who)
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Rutgers University, Department of Economics
- (where)
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New Brunswick, NJ
- (when)
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1998
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mizrach, Bruce
- Watkins, James
- Rutgers University, Department of Economics
Time of origin
- 1998
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