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| 題名: | Estimation of the probit model with autocorrelated errors via the MCECM algorithm |
| 作者: | Huang, Ho-Chuan (River) |
| 貢獻者: | 淡江大學財務金融學系 |
| 日期: | 1999-07 |
| 上傳時間: | 2013-05-31 10:49:28 (UTC+8) |
| 出版者: | Abingdon: Routledge |
| 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. |
| 關聯: | Applied Economics Letters 6(7), pp.409-412 |
| DOI: | 10.1080/135048599352907 |
| 顯示於類別: | [財務金融學系暨研究所] 期刊論文
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