教師資料查詢 | 類別: 期刊論文 | 教師: 黃河泉 HO-CHUAN HUANG (瀏覽個人網頁)

標題:Estimation of the probit model with autocorrelated errors via the MCECM algorithm
學年87
學期2
出版(發表)日期1999/07/01
作品名稱Estimation of the probit model with autocorrelated errors via the MCECM algorithm
作品名稱(其他語言)
著者Huang, Ho-Chuan (River)
單位淡江大學財務金融學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economics Letters 6(7), pp.409-412
摘要Estimation of the probit model with autocorrelated errors often involves the calculation of a multiple integral which is usually intractable. A stochastic version of the EM algorithm is proposed to solve the problem. The approach implements the E-step by retrieving the latent values via a Monte Carlo method (MCE-step) and replaces the M-step by a sequence of conditional maximizations (CM-step). The practicality of this MCECM algorithm is illustrated by estimating the reaction function of the monetary policy in Taiwan by a probit model with first-order serial correlation.
關鍵字
語言英文
ISSN1350-5851
期刊性質國外
收錄於SSCI
產學合作
通訊作者Huang, Ho-Chuan (River)
審稿制度
國別英國
公開徵稿
出版型式紙本
相關連結
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