Recursive Score and Hessian Computation in Regime-Switching Models
Econometrics
2026-01-13 v2
Abstract
This study proposes a recursive and easy-to-implement algorithm to compute the score and Hessian matrix in general regime-switching models. We use simulation to compare the asymptotic variance estimates constructed from the Hessian matrix and the outer product of the score. The results favor the latter.
Cite
@article{arxiv.2205.01565,
title = {Recursive Score and Hessian Computation in Regime-Switching Models},
author = {Chaojun Li and Shi Qiu},
journal= {arXiv preprint arXiv:2205.01565},
year = {2026}
}
Comments
12 pages