Switching regression models with non-normal errors
Streszczenie
In this paper two forms of switching regression models with non-normal
errors are considered. The pseudo maximum likelihood method is proposed for the
estimation of their parameters.
Monte Carlo experiments results are presented for a special switching regression
model, too. In this research there are compared distributions of parameters estimators
for different distributions of errors. The error distributions are as follows: normal,
Student’s or Laplace’s. The maximum likelihood method (for the normal errors) is
applied to the estimation. In most of the cases the estimators distributions do not differ
significantly.