A note on Phillips (1991): "A constrained maximum likelihood approach to estimating switching regressions"

Jianjun Xu, Xianming Tan and Runchu Zhang

Journal of Econometrics, 2010, vol. 154, issue 1, 35-41

Abstract: Phillips [Phillips R.F., 1991. A constrained maximum likelihood approach to estimating switching regressions. Journal of Econometrics 48, 241-262] proposed a constrained maximum-likelihood approach to estimating the parameters in a switching regression model. In this note, we propose a new approach which leads to a proof of a more general result than Phillips's. Specifically, we prove that the Constrained MLE (CMLE) is still strongly consistent when the constant c decreases to 0 at the rate of as n increases to [infinity], with [alpha]>1. We also suggest a suitable [alpha], hence cn, for practice based on simulation results.

Keywords: Consistency; Constrained; maximum; likelihood; estimator; Singularity; Switching; regression; VC; class (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:154:y:2010:i:1:p:35-41

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