arXiv 3 May 2022 · Econometrics · 1 citations (OpenAlex)
arXiv:2205.01565 · PDF · DOI · OpenAlex · Extracted main text
This study proposes an efficient algorithm for score computation for regime-switching models, and derived from which, an efficient expectation-maximization (EM) algorithm. Different from existing algorithms, this algorithm does not rely on the forward-backward filtering for smoothed regime probabilities, and only involves forward computation. Moreover, the algorithm to compute score is readily extended to compute the Hessian matrix.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hamilton, James D (1996) Specification testing in Markov-switching time-series models | 0.928 | 4 | 3 | 100% |
| 2 | Psaradakis, Zacharias and Sola, Martin (1998) Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching | 0.843 | 3 | 3 | 100% |
| 3 | Cappé, Olivier and Moulines, Eric and Rydén, Tobias (2005) Inference in Hidden Markov Models | 0.811 | 4 | 2 | 100% |
| 4 | Kasahara, Hiroyuki and Shimotsu, Katsumi (2019) Asymptotic properties of the maximum likelihood estimator in regime switching econometric models | 0.644 | 2 | 2 | 100% |
| 5 | Douc, Randal and Moulines, Eric and Ryden, Tobias (2004) Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime | 0.405 | 1 | 1 | 100% |
| 6 | Hamilton, James D (1989) A new approach to the economic analysis of nonstationary time series and the business cycle | 0.405 | 1 | 1 | 100% |
| 7 | Demian Pouzo AND Zacharias Psaradakis AND Martin Sola (2022) Maximum Likelihood Estimation in Markov Regime-Switching Models with Covariate-Dependent Transition Probabilities | 0.405 | 1 | 1 | 100% |
Showing the top 7 of 7 scored citations.