# Differences

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 matlab [2013/08/09 15:39]admin created matlab [2017/09/29 08:01] (current)admin 2017/09/29 08:01 admin 2013/08/09 15:39 admin created 2017/09/29 08:01 admin 2013/08/09 15:39 admin created Line 1: Line 1: - ===== 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 ====