Estimation of the probit model with autocorrelated errors via the MCECM algorithm

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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:	[Graduate Institute & Department of Banking and Finance] Journal Article

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