Chen, Heng; Fan, Yanqin; Wu, Jisong - In: Journal of Econometrics 181 (2014) 2, pp. 77-91
In this paper, we propose a flexible, parametric class of switching regime models allowing for both skewed and fat-tailed outcome and selection errors. Specifically, we model the joint distribution of each outcome error and the selection error via a newly constructed class of multivariate...