Estimating endogenous switching regression model with a flexible parametric distribution function: application to Korean housing demand
This study introduces Johnson's SU-normal distribution which can accommodate the flexibility of true error distribution to obtain consistent estimates in an endogenous switching regression model. Simulation results indicate that the SU-normal model outperforms the normal model for the consistency of estimators when the error distribution is nonnormal. Korean housing demand model estimated by the SU-normal model also outperforms the normal model in terms of parameter estimates and graphical predictions.
Year of publication: |
2009
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Authors: | Choi, Pilsun ; Min, Insik |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 41.2009, 23, p. 3045-3055
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Publisher: |
Taylor & Francis Journals |
Saved in:
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