Dannemann, Jörn; Holzmann, Hajo - In: Computational Statistics & Data Analysis 54 (2010) 6, pp. 1592-1604
Switching regression models form a suitable model class for regression problems with unobserved heterogeneity. A basic issue encountered in applications of switching regression models is to choose the number of states of the switching regime. Based on the modified likelihood ratio test (LRT)...