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A New Approach to Estimating Switching Regressions
Abstract
In recent years much attention has been focussed on the problem of discontinuous shifts in regression regimes at unknown points in the data series. This article approaches this problem by assuming that nature chooses between regimes with probabilities λ and 1 — λ. This allows formulation of the appropriate likelihood function maximized with respect to the parameters in the regression equations and λ. The method is compared to another recent procedure in some sampling experiments and in a realistic economic problem and is found satisfactory.
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Powell, M. J. D. (1964) · The Computer Journal · doi:10.1093/comjnl/7.2.155 · Cited by 4,632 · cited 1×
“conjugate gradient algorithm [11].”
Cited by
THE ESTIMATION OF CAUSAL EFFECTS FROM OBSERVATIONAL DATA
Winship, C., & Morgan, S. L. (1999) · Annual Review of Sociology · doi:10.1146/annurev.soc.25.1.659 · Cited by 890
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
Zhao, Z. (2004) · Review of Economics and Statistics · doi:10.1162/003465304323023705 · Cited by 389
Bayesian Multilevel Analysis and MCMC
Draper, D. (2007) · Handbook of Multilevel Analysis · doi:10.1007/978-0-387-73186-5_2 · Cited by 69
Modelling central bank behaviour in Nigeria:A Markov-switching approach
Ayinde, T. O., Bankole, A. S., & Adeniyi, O. (2020) · Central Bank Review · doi:10.1016/j.cbrev.2020.11.001 · Cited by 6
Metadata
- Authors
- Quandt, R. E.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1972-06
- Volume
- 67
- Issue
- 338
- Pages
- 306-310
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W1963925817
- Cited by
- 633
- References
- 1
- FWCI
- 5.84
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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