Journal of the American Statistical Association · 1972 · 584 citations · 11 references
Social SciencesEconomicsEconometricsMicroeconomicsTime Series AnalysisEstimation TheoryMaximum Likelihood EstimationMicroeconometricsRegime-switching ModelsStatistical InferenceLikelihood Function AnalysisRegime Shift Modeling
Abstract In recent years much attention has been focussed on the problem of discontinuous shifts in regression regimes at unknown points in the data series. This article approaches this problem by assuming that nature chooses between regimes with probabilities λ and 1 — λ. This allows formulation of the appropriate likelihood function maximized with respect to the parameters in the regression equations and λ. The method is compared to another recent procedure in some sampling experiments and in a realistic economic problem and is found satisfactory.
11
Tests of Equality Between Sets of Coefficients in Two Linear Regressions
Gregory C. Chow · Econometrica · 1960 · 6.5K citations
Nonlinear Methods in Econometrics.
Jon Stewart, Stephen M. Goldfeld, Richard E. Quandt · The Economic Journal · 1973 · 659 citations