00000nam##2200000za#4500 9.571638 CaOODSP 20211126112844 cr ||||||||||| 150406|1995||||xxc|||||o f|0| 0 eng|d 1701-9397 CaOODSP eng n-cn--- FB3-2/95-7E-PDF Bank of Canada. Analytical derivatives for Markov switching models / [electronic resource] by Jeff Gable, Simon van Norden and Robert Vigfusson. Ottawa - Ontario : Bank of Canada August 1995. 33p. graph, references, tables Bank of Canada working paper 1701-9397 95-7 "This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients considerably speed up maximum-likelihood estimation with no loss in accuracy. A sample program listing is included."--Abstract. The ISBN (0-662-23685-8) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients considerably speed up maximum-likelihood estimation with no loss in accuracy. A sample program listing is included.--Abstract Résumé en français. 11-19-Supp 2011-09-23 Rates gcpds Currency gcpds Vigfusson, Robert Gable, Jeff van Norden, Simon Analytical derivatives for Markov switching models / (CaOODSP)9.612490 Working paper (Bank of Canada) 1701-9397 95-7 (CaOODSP)9.504604 http://publications.gc.ca PDF 188 KB https://publications.gc.ca/collections/Collection/FB3-2-95-7E.pdf 95-7