Information matrix tests for switching regressions

Dante Amengual (), Gabriele Fiorentini and Enrique Sentana
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Dante Amengual: CEMFI, Centro de Estudios Monetarios y Financieros, https://www.cemfi.es/

Working Papers from CEMFI

Abstract: The EM principle implies the moments underlying the information matrix test for switching regressions are the expectation given the data of the moments one would test if one knew the subpopulation each observation originated from. Thus, we identify components related to conditional heteroskedasticity, conditional and unconditional skewness, and unconditional kurtosis of regression residuals within each regime. Simulations indicate analytical expressions for the asymptotic covariance matrix of those moments adjusted for sampling variability in parameter estimators provide reliable finite sample sizes and good power against various alternatives, especially combined with the parametric bootstrap. We apply the test to cross-country convergence regressions.

Keywords: Asymmetry; convergence regressions; expectation - maximization principle; heteroskedasticity; incomplete data; kurtosis. (search for similar items in EconPapers)
JEL-codes: C24 C34 C52 O47 (search for similar items in EconPapers)
Date: 2026-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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