An alternative estimation algorithm for innovation regime-switching models

In this article, we derive an alternative estimation algorithm for the innovation regime-switching model, which avoids the potential divergence problem that may arise from the algorithm proposed by Kuan et al. (2005, JBES). Our simulation demonstrates that the proposed algorithm compares favourably with that of Kuan et al. (2005), in terms of both numerical accuracy and computing time.

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Year of publication:	2007
Authors:	Huang, Yu-Lieh
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 15.2007, 3, p. 225-229
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009277490