Citation
Douglas, Stratford & Guilkey, David K. (1996). Bootstrap Standard Error Estimates in a Switching Regression Model with Unknown Switch Point. Communications in Statistics: Simulation and Computation, 25(1), 1-23.Abstract
We identify and analyze a problem in switching regressions estimation, and evaluate the bootstrap as a solution. The usual estimation method for this model overstates the precision of the parameter estimates, since the standard error estimates that it generates are conditional on the switch point estimate. Bootstrap techniques allow the estimation of unconditional standard errors. We estimate a response surface to evaluate the accuracy and responsiveness of the bootstrap standard errors. Our results indicate that the bootstrap estimates standard errors of both the switch point estimator and regression coefficient estimators with reasonable accuracy.URL
https://doi.org/10.1080/03610919608813295Reference Type
Journal ArticleYear Published
1996Journal Title
Communications in Statistics: Simulation and ComputationAuthor(s)
Douglas, StratfordGuilkey, David K.