Switching regression models with non-normal errors

• Authors: Pruska, Krystyna

Title variants

EN

Modele regresji przełącznikowej ze składnikami losowymi o rozkładach rożnych od normalnego

Abstracts

EN

In this paper two forms of switching regression models with non-normal errors are considered. The pseudo maximum likelihood method is proposed for the estimation of their parameters. Monte Carlo experiments results are presented for a special switching regression model, too. In this research there are compared distributions of parameters estimators for different distributions of errors. The error distributions are as follows: normal, Student’s or Laplace’s. The maximum likelihood method (for the normal errors) is applied to the estimation. In most of the cases the estimators distributions do not differ significantly.

Keywords

EN

switching regression models; maximum likelihood method; pseudo maximum likelihood method

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 1997
• Volume: 141

Dates

published

1997

Contributors

author

Pruska, Krystyna

other

University of Łódź, Chair of Statistical Methods

Identifiers

URI

http://hdl.handle.net/11089/6259