E-resources
Peer reviewed
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Xu, Jianjun; Tan, Xianming; Zhang, Runchu
Journal of econometrics, 2010, 2010-1-00, 20100101, Volume: 154, Issue: 1Journal Article
Phillips Phillips R.F., 1991. A constrained maximum likelihood approach to estimating switching regressions. Journal of Econometrics 48, 241–262 proposed a constrained maximum-likelihood approach to estimating the parameters in a switching regression model. In this note, we propose a new approach which leads to a proof of a more general result than Phillips’s. Specifically, we prove that the Constrained MLE (CMLE) is still strongly consistent when the constant c decreases to 0 at the rate of exp ( − n 1 2 ( log n ) − α ) as n increases to ∞ , with α > 1 . We also suggest a suitable α , hence c n , for practice based on simulation results.
