A Maximum Likelihood Method for Piecewise Regression Models with a Continuous Dependent Variable

Asher Tishler and Isreal Zang

Journal of the Royal Statistical Society Series C, 1981, vol. 30, issue 2, 116-124

Abstract: This paper develops a maximum likelihood method for estimating a piecewise regression model with a continuous dependent variable. The method employs an approximation to the “max” operator in the likelihood function. The use of this method is very simple and involves almost no numerical difficulties, because it allows the use of analytical derivatives of the likelihood function. The method proposed converges rapidly and may be used with an arbitrary number of regimes and variables.

Date: 1981
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssc:v:30:y:1981:i:2:p:116-124

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