Recursive Score and Hessian Computation in Regime-Switching Models
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2022
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| _version_ | 1866915721096724480 |
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| author | Li, Chaojun Qiu, Shi |
| author_facet | Li, Chaojun Qiu, Shi |
| contents | This study proposes a recursive and easy-to-implement algorithm to compute the score and Hessian matrix in general regime-switching models. We use simulation to compare the asymptotic variance estimates constructed from the Hessian matrix and the outer product of the score. The results favor the latter. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2205_01565 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Recursive Score and Hessian Computation in Regime-Switching Models Li, Chaojun Qiu, Shi Econometrics This study proposes a recursive and easy-to-implement algorithm to compute the score and Hessian matrix in general regime-switching models. We use simulation to compare the asymptotic variance estimates constructed from the Hessian matrix and the outer product of the score. The results favor the latter. |
| title | Recursive Score and Hessian Computation in Regime-Switching Models |
| topic | Econometrics |
| url | https://arxiv.org/abs/2205.01565 |