An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
AbstractThis paper investigates an e±cient estimation method for a class of switching regressions based on the characteristic function (CF). We show that with the exponential weighting function, the CF based estimator can be achieved from minimizing a closed form distance measure. Due to the availability of the analytical structure of the asymptotic covariance, an iterative estimation procedure is developed involving the minimization of a precision measure of the asymptotic covariance matrix. Numerical examples are illustrated via a set of Monte Carlo experiments examining the implentability, Finite sample property and e±ciency of the proposed estimator.
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Bibliographic InfoPaper provided by University of Waterloo, Department of Economics in its series Working Papers with number 0903.
Length: 22 pages
Date of creation: Apr 2009
Date of revision: Apr 2009
Switching Regression model; Characteristic Function; Integrated Squared Error; Gaussian Mixtures.;
Find related papers by JEL classification:
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-23 (All new papers)
- NEP-ECM-2009-05-23 (Econometrics)
- NEP-ORE-2009-05-23 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor and Francis Journals, vol. 23(2), pages 93-123.
- Dinghai Xu & John Knight, 2011.
"Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters,"
Taylor and Francis Journals, vol. 30(1), pages 25-50.
- Dinghai Xu & John Knight, 2008. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers 08006, University of Waterloo, Department of Economics.
- Kien Tran, 1998. "Estimating mixtures of normal distributions via empirical characteristic function," Econometric Reviews, Taylor and Francis Journals, vol. 17(2), pages 167-183.
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