A switching regression method using inequality conditions

Asher Tishler*, Israel Zang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

19 Scopus citations

Abstract

This paper presents three simple approximations to the likelihood function of a switching regression model with inequality conditions. These approximations, which leave the likelihood function unchanged almost everywhere, have analytical derivatives that are continuously differentiable, and hence, allow the use of efficient gradient techniques.

Original languageEnglish
Pages (from-to)259-274
Number of pages16
JournalJournal of Econometrics
Volume11
Issue number2-3
DOIs
StatePublished - 1979

Funding

FundersFunder number
Israel Institute of Business Research at Tel-Aviv University

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