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    Title: Estimation of the probit model with autocorrelated errors via the MCECM algorithm
    Authors: Huang, Ho-Chuan (River)
    Contributors: 淡江大學財務金融學系
    Date: 1999-07
    Issue Date: 2013-05-31 10:49:28 (UTC+8)
    Publisher: Abingdon: Routledge
    Abstract: 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.
    Relation: Applied Economics Letters 6(7), pp.409-412
    DOI: 10.1080/135048599352907
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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