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 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
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