Modèle de régression avec variables d’écart

Jean-Guy Loranger
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Jean-Guy Loranger: Université de Montréal

L'Actualité Economique, 1974, vol. 50, issue 2, 177-190

Abstract: A look at M. G. Dagenais' contributions (1969, 1973) on threshold regression models and at chapter 9 of S.M. Goldfeld and R.E. Quandt's book (1972) concerning switching regression models suggested to me that a new approach to estimating the threshold model by introducing slack variables might be possible. One of the main advantages of this new method is to simplify to a great extent the estimation of the likelihood function which is reduced partly to the problem of estimating a limited number of simple integrals for each iteration in the process of optimization.

Date: 1974
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Persistent link: https://EconPapers.repec.org/RePEc:ris:actuec:v:50:y:1974:i:2:p:177-190

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