期刊論文
| 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 | en |
| ISSN | 1350-5851 |
| 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 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72440 ) |