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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  An Alternative Estimation Algorithm for Innovation Regime-Switching Models


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62062


    Title: An Alternative Estimation Algorithm for Innovation Regime-Switching Models
    Authors: Yu-Lieh Huang
    教師: 黃裕烈
    Date: 2008
    Publisher: Routledge
    Relation: ROUTLEDGE,Applied Economics Letters, Volume 15, Issue 3 February 2008 , pages 225 - 229
    Keywords: Algorithm
    Innovation
    Regime-Switching
    Abstract: 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.
    URI: http://www.tandf.co.uk/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62062
    Appears in Collections:[計量財務金融學系] 期刊論文

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