A constrained maximum-likelihood approach to estimating switching regressions

DOI10.1016/0304-4076(91)90040-KzbMath0734.62071MaRDI QIDQ811064

Robert F. Phillips

Publication date: 1991

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

EM algorithmefficientconsistentasymptotically normalconstrained maximizers of the likelihood functionconstrained maximum-likelihoodswitching-regression model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (14)

Partially adaptive estimation via a normal mixture ⋮ A note on Phillips (1991): ``A constrained maximum likelihood approach to estimating switching regressions ⋮ Clusterwise linear regression modeling with soft scale constraints ⋮ Inequality constrained stochastic nonlinear optimization via active-set sequential quadratic programming ⋮ A constrained maximum likelihood estimation for skew normal mixtures ⋮ Robust clusterwise linear regression through trimming ⋮ Forecasting in the presence of large shocks ⋮ On algorithms for restricted maximum likelihood estimation ⋮ Likelihood ratio tests of the number of components in a normal mixture with unequal variances ⋮ Estimating mixtures of normal distributions via empirical characteristic function ⋮ Switching regressions and activity analysis. A new approach to frontier estimation ⋮ Maximum likelihood estimation of a mixture of normal regressions: starting values and singularities ⋮ A constrained maximum-likelihood approach to estimating switching regressions ⋮ Partially adaptive estimation of nonlinear models via a normal mixture

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A constrained maximum-likelihood approach to estimating switching regressions
• On the convergence properties of the EM algorithm
• A constrained formulation of maximum-likelihood estimation for normal mixture distributions
• A Note on Switching Regressions and Logistic Discrimination
• Bayesian and Non-Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models
• Estimating Mixtures of Normal Distributions and Switching Regressions
• Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
• Regression Analysis when the Dependent Variable Is Truncated Normal
• On the Identifiability of Finite Mixtures
• Asymptotic Properties of Non-Linear Least Squares Estimators
• A New Approach to Estimating Switching Regressions
• Linear Statistical Inference and its Applications
• A NOTE ON THE CONSISTENCY AND MAXIMA OF THE ROOTS OF LIKELIHOOD EQUATIONS

This page was built for publication: A constrained maximum-likelihood approach to estimating switching regressions