Search Results - subject:"EM Algorithm"

Estimating a Taylor Rule with Markov Switching Regimes for Switzerland

Perruchoud, Alexander - In: Swiss Journal of Economics and Statistics (SJES) 145 (2009) II, pp. 187-220

In this paper a Taylor rule including the exchange rate gap is estimated for Switzerland under the assumption that the parameters depend on two states governed by a Markov switching process. The estimates suggest the presence of an ordinary and an aggressive regime. The former is characterized...

Persistent link: https://www.econbiz.de/10005009543

Identification of Macroeconomic Factors in Large Panels

Bork, Lasse; Dewachter, Hans; Houssa, Romain - School of Economics and Management, University of Aarhus - 2009

, while the structural shocks are estimated following standard practices in the SVAR literature. Estimators based on the EM … algorithm are developped. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we … following standard practices in the SVAR literature. Estimators based on the EM algorithm are developped. We apply this …

Persistent link: https://www.econbiz.de/10008566317

Empirical econometric evaluation of alternative methods of dealing with missing values in Investment Climate surveys

Escribano, Alvaro; Pena, Jorge - Departamento de Economía, Universidad Carlos III de Madrid - 2009

is a proxy of two methods: multiple imputation and EM algorithm. We evaluate the performance of this ICA method in the …

Persistent link: https://www.econbiz.de/10008495533

Estimation of a latent class discrete choice panel data model via Maximum Likelihood and EM algorithms in Stata

Pacifico, Daniele - Volkswirtschaftliche Fakultät, … - 2009

Maximum Likelihood and an EM algorithm. …

Persistent link: https://www.econbiz.de/10008497648

Inference in Mixed Proportional Hazard Models with K Random Effects

Guillaume Horny. - Banque de France - 2009

using an EM algorithm. In a Monte Carlo study, the behavior of the estimator is assessed and I provide an application to the …

Persistent link: https://www.econbiz.de/10008479242

Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach

Bork, Lasse - School of Economics and Management, University of Aarhus - 2009

-step EM algorithm as an alternative to the two-step principal component method and the one-step Bayesian method in Bernanke et … al. (2005). The EM algorithm which is an iterative maximum likelihood method estimates all the parameters and the dynamic …: An EM Algorithm Approach Lasse Bork Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector …

Persistent link: https://www.econbiz.de/10005198865

Choosing the field of study in post-secondary education: do expected earnings matter?

Beffy, Magali; Fougère, Denis; Maurel, Arnaud - 2009

earnings equation. Following Arcidiacono and Jones (2003), we use the EM algorithm with a sequential maximization step to …

Persistent link: https://www.econbiz.de/10010269005

Semiparametric regression analysis of zero-inflated data

Liu, Hai - 2009

Zero-inflated data abound in ecological studies as well as in other scientific and quantitative fields. Nonparametric regression with zero-inflated response may be studied via the zero-inflated generalized additive model (ZIGAM). ZIGAM assumes that the conditional distribution of the response...

Persistent link: https://www.econbiz.de/10009466022

Model selection criteria in the presence of missing data based on the Kullback-Leibler discrepancy

Sparks, JonDavid - 2009

principles related to the expectation maximization (EM) algorithm and bootstrap methods. We formulate the criteria for three …

Persistent link: https://www.econbiz.de/10009466074

Regularized (bridge) logistic regression for variable selection based on ROC criterion

Tian, GL; Fang, HB; Liu, Z; Tan, MT - 2009

It is well known that the bridge regression (with tuning parameter less or equal to 1) gives asymptotically unbiased estimates of the nonzero regression parameters while shrinking smaller regression parameters to zero to achieve variable selection. Despite advances in the last several decades in...

Persistent link: https://www.econbiz.de/10009471472