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Estimating endogenous switching regression model with a flexible parametric distribution function: application to Korean housing demand

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Abstract:

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.

Document Type: Research Article

DOI: https://doi.org/10.1080/00036840701335595

Affiliations: 1: Department of International Trade, Konkuk University, Seoul, Korea 2: Department of Economics, Kyung Hee University, Seoul, Korea

Publication date: 2009-10-01

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