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The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
Abstract
In attempting to estimate the parameters of a linear regression system obeying two separate regimes, it is necessary first to estimate the position of the point in time at which the switch from one regime to the other occurred. The suggested maximum likelihood estimating procedure is based upon a direct examination of the likelihood function. An asymptotic and a small-sample test are suggested for testing the hypothesis that no switch occurred against the single alternative that one switch took place. The procedure is illustrated with a sampling experiment in which the true switching point is correctly estimated.
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Citations
Cited by
Detection of Abrupt Changes: Theory and Application
Riedel, K. S. (1994) · Technometrics · doi:10.1080/00401706.1994.10485821 · Cited by 3,518
Causal Inference Using Potential Outcomes: Design, Modeling, Decisions
Rubin, D. B. (2005) · Journal of the American Statistical Association · doi:10.1198/016214504000001880 · Cited by 2,173
Analysis of time series subject to changes in regime
Hamilton, J. D. (1990) · Journal of Econometrics · doi:10.1016/0304-4076(90)90093-9 · Cited by 1,926
Understanding Instrumental Variables in Models with Essential Heterogeneity
Heckman, J. J., Urzua, S., & Vytlacil, E. (2006) · Review of Economics and Statistics · doi:10.1162/rest.88.3.389 · Cited by 874
Estimating Marginal Returns to Education
Carneiro, P., Heckman, J. J., & Vytlacil, E. J. (2011) · American Economic Review · doi:10.1257/aer.101.6.2754 · Cited by 612
Metadata
- Authors
- Quandt, R. E.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1958-12
- Volume
- 53
- Issue
- 284
- Pages
- 873-880
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W1965666958
- Cited by
- 1,107
- References
- 0
- FWCI
- 2.61
- Type
- journal article
- Language
- en
- Open access
- closed
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- Quandt, R. E. (1958). The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes. Journal of the American Statistical Association. https://doi.org/10.1080/01621459.1958.10501484
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