A note on Phillips (1991): "A constrained maximum likelihood approach to estimating switching regressions"
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References listed on IDEAS
- Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006.
"Markov-switching model selection using Kullback-Leibler divergence,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 553-577, October.
- Smith, Aaron D. & Naik, Prasad A. & Tsai, Chih-Ling, 2005. "Markov-Switching Model Selection Using Kullback-Leibler Divergence," Working Papers 11976, University of California, Davis, Department of Agricultural and Resource Economics.
- Naik, Prasad A. & Shi, Peide & Tsai, Chih-Ling, 2007. "Extending the Akaike Information Criterion to Mixture Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 244-254, March.
- Phillips, Robert F., 1991. "A constrained maximum-likelihood approach to estimating switching regressions," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 241-262.
- Kiefer, Nicholas M, 1978. "Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model," Econometrica, Econometric Society, vol. 46(2), pages 427-434, March.
- Amemiya, Takeshi, 1973. "Regression Analysis when the Dependent Variable is Truncated Normal," Econometrica, Econometric Society, vol. 41(6), pages 997-1016, November.
- Hartley, Michael J & Mallela, Parthasaradhi, 1977. "The Asymptotic Properties of a Maximum Likelihood Estimator for a Model of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 45(5), pages 1205-1220, July.
- Devroye, Luc, 1982. "Bounds for the uniform deviation of empirical measures," Journal of Multivariate Analysis, Elsevier, vol. 12(1), pages 72-79, March.
More about this item
KeywordsConsistency Constrained maximum likelihood estimator Singularity Switching regression VC class;
StatisticsAccess and download statistics
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