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Switching regression models with non-normal errors

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Pruska K., University of Łódź C. o. S. M.
Acta Universitatis Lodziensis. Folia Oeconomica
|
1997
|
vol. 141
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.
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