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

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