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matlab [2013/08/09 15:39]
admin created
matlab [2017/09/29 08:01] (current)
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-===== Econemetrics ===== +  * Package for computing the maximum-likelihood parameter estimate for linear state-space models. A structural parameter-expanded EM algorithm is used for computing one element of the parameter set estimate, which is mapped to the unique point estimate in a normalized parameter space. Many popular normalizations (parameterizations) are supported. The algorithm implements a square-root Kalman filter. Overall, the SPX-EM algorithm is more robust and converges much faster than a standard EM algorithm. {{:​matlab:​lssmspxem.zip|lssmspxem.zip}}
-==== Discrete Choice Models ==== +
-==== Times Series Models ====+
-===== Credit Risk ===== 
-==== Probability of Default Estimation ==== 
-==== Discrimination Tests ==== 
-==== Calibration Tests ==== 
-==== Basel II Utilities ====