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

摘要

This study introduces Johnson's 5Vnormal 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 S_U-normal model outperforms the normal model for the consistency of estimators when the error distribution is nonnormal. Korean housing demand model estimated by the S_U-normal model also outperforms the normal model in terms of parameter estimates and graphical predictions.