Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Mar, 1982, Volume 50, Issue 2

An Improved Version of the Quandt-Ramsey MGF Estimator for Mixtures of Normal Distributions and Switching Regressions

https://doi.org/0012-9682(198203)50:2<501:AIVOTQ>2.0.CO;2-M
p. 501-516

Peter Schmidt

Quandt and Ramsey have suggested an estimator for normal mixtures and switching regressions, which minimizes a sum of squared differences between empirical and theoretical values of the moment generating function. This paper demonstrates how their estimator can be improved by minimizing a generalized sum of squares rather than an ordinary sum of squares. When this is done, more points of evaluation (moments) are unambiguously better than less. Most of the results presented are also applicable to method of moments estimators in general.


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