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An alternative estimation algorithm for innovation regime-switching models

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  • Yu-Lieh Huang

Abstract

In this article, we derive an alternative estimation algorithm for the innovation regime-switching model, which avoids the potential divergence problem that may arise from the algorithm proposed by Kuan et al. (2005, JBES). Our simulation demonstrates that the proposed algorithm compares favourably with that of Kuan et al. (2005), in terms of both numerical accuracy and computing time.

Suggested Citation

  • Yu-Lieh Huang, 2007. "An alternative estimation algorithm for innovation regime-switching models," Applied Economics Letters, Taylor & Francis Journals, vol. 15(3), pages 225-229.
    • Handle: RePEc:taf:apeclt:v:15:y:2007:i:3:p:225-229
    DOI: 10.1080/13504850600706297
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    Cited by:

    1. Yu-Lieh Huang, 2009. "Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1477-1481.
    2. Yu-Lieh Huang & Chia-Wen Ho, 2008. "Demarcating stable and turbulent regimes in Taiwan's stock market," Economics Bulletin, AccessEcon, vol. 3(35), pages 1-11.

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