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An Efficient Estimation for Switching Regression Models: A Monte Carlo Study

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  • Dinghai Xu

    (Department of Economics, University of Waterloo)

Abstract

This 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.

Suggested Citation

  • Dinghai Xu, 2009. "An Efficient Estimation for Switching Regression Models: A Monte Carlo Study," Working Papers 0903, University of Waterloo, Department of Economics, revised Apr 2009.
    • Handle: RePEc:wat:wpaper:0903
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    File URL: http://economics.uwaterloo.ca/documents/EfficientPaperXu.pdf
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    References listed on IDEAS

    as
    1. Dinghai Xu & John Knight, 2011. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 25-50.
    2. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(3), pages 691-721, June.
    3. Kien Tran, 1998. "Estimating mixtures of normal distributions via empirical characteristic function," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 167-183.
    4. Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Switching Regression model; Characteristic Function; Integrated Squared Error; Gaussian Mixtures.;
    All these keywords.

    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

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