Dealing with Markov-switching parameters in quantile regression models

Yunmi Kim, Lijuan Huo, Tae Hwan Kim

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1 Citation (Scopus)


Quantile regression has become a standard modern econometric method because of its capability to investigate the relationship between economic variables at various quantiles. The econometric method of Markov-switching regression is also considered important because it can deal with structural models or time-varying parameter models flexibly. A combination of these two methods, known as “Markov-switching quantile regression (MSQR),” has recently been proposed. Liu and, Liu and Luger propose MSQR models using the Bayesian approach whereas Ye et al.’s proposal for MSQR models is based on the classical approach. In our study, we extend the results of Ye et al. First, we propose an efficient estimation method based on the expectation-maximization algorithm. In our second extension, we adopt the quasi-maximum likelihood approach to estimate the proposed MSQR models unlike the maximum likelihood approach that Ye et al. use. Our simulation results confirm that the proposed expectation-maximization (EM) estimation method for MSQR models works quite well.

Original languageEnglish
Pages (from-to)6773-6791
Number of pages19
JournalCommunications in Statistics: Simulation and Computation
Issue number11
Publication statusPublished - 2022

Bibliographical note

Funding Information:
Tae-Hwan Kim is grateful for financial support from the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2017S1A5A2A01025435). Lijuan Huo’s research is supported by the National Natural Science Foundation of China, grant 71803009.

Publisher Copyright:
© 2020 Taylor & Francis Group, LLC.

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation


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