Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/94343 
Erscheinungsjahr: 
1998
Schriftenreihe/Nr.: 
Working Paper No. 1998-17
Verlag: 
Rutgers University, Department of Economics, New Brunswick, NJ
Zusammenfassung: 
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.
Schlagwörter: 
EM algorithm
Markov switching
JEL: 
C22
Dokumentart: 
Working Paper

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