Estimating endogenous switching regression model with a flexible parametric distribution function: application to Korean housing demand

Pilsun Choi and Insik Min

Applied Economics, 2009, vol. 41, issue 23, 3045-3055

Abstract: This study introduces Johnson's SU-normal distribution which can accommodate the flexibility of true error distribution to obtain consistent estimates in an endogenous switching regression model. Simulation results indicate that the SU-normal model outperforms the normal model for the consistency of estimators when the error distribution is nonnormal. Korean housing demand model estimated by the SU-normal model also outperforms the normal model in terms of parameter estimates and graphical predictions.

Date: 2009
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DOI: 10.1080/00036840701335595

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