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An Efficient Estimation for Switching Regression Models: A Monte Carlo Study

Dinghai Xu

No 903, Working Papers from University of Waterloo, Department of Economics

Abstract: This paper investigates an e±cient estimation method for a class of switching regressions based on the characteristic function (CF). We show that with the exponential weighting function, the CF based estimator can be achieved from minimizing a closed form distance measure. Due to the availability of the analytical structure of the asymptotic covariance, an iterative estimation procedure is developed involving the minimization of a precision measure of the asymptotic covariance matrix. Numerical examples are illustrated via a set of Monte Carlo experiments examining the implentability, Finite sample property and e±ciency of the proposed estimator.

Keywords: Switching Regression model, Characteristic Function; Integrated Squared Error; Gaussian Mixtures. (search for similar items in EconPapers)
JEL-codes: E50 E61 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2009-04, Revised 2009-04
New Economics Papers: this item is included in nep-ecm and nep-ore
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