Switching regression models with non-normal errors

In this paper two forms of switching regression models with non-normal errors are considered. The pseudo maximum likelihood method is proposed for the estimation of their parameters. Monte Carlo experiments results are presented for a special switching regression model, too. In this research there are compared distributions of parameters estimators for different distributions of errors. The error distributions are as follows: normal, Student’s or Laplace’s. The maximum likelihood method (for the normal errors) is applied to the estimation. In most of the cases the estimators distributions do not differ significantly.