An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
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References listed on IDEAS
- Dinghai Xu & John Knight, 2011.
"Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters,"
Taylor & 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.
- Jun Yu, 2004. "Empirical Characteristic Function Estimation and Its Applications," Econometric Reviews, Taylor & Francis Journals, vol. 23(2), pages 93-123.
- Kien Tran, 1998. "Estimating mixtures of normal distributions via empirical characteristic function," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 167-183.
More about this item
KeywordsSwitching Regression model; Characteristic Function; Integrated Squared Error; Gaussian Mixtures.;
- 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
NEP fieldsThis 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)
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