City Research Online

Abstract

Motivated by three health economics-related case studies, we propose a unifying and flexible regression modelling framework that involves regime switching. The proposal can handle the peculiar distributional shapes of the considered outcomes via a vast range of marginal distributions, allows for a wide variety of copula dependence structures and permits to specify all model parameters (including the dependence parameters) as flexible functions of covariate effects. The algorithm is based on a computationally efficient and stable penalised maximum likelihood estimation approach. The proposed modelling framework is employed in three applications in health economics, that use data from the Medical Expenditure Panel Survey, where novel patterns are uncovered. The framework has been incorporated in the R package GJRM, hence allowing users to fit the desired model(s) and produce easy-to-interpret numerical and visual summaries

Publication Type:	Article
Additional Information:	This is an Accepted Manuscript of an article to be published by Taylor & Francis in Econometric Reviews , available at: https://www.tandfonline.com/journals/LECR
Publisher Keywords:	copula; penalised regression spline; simultaneous estimation; structural equation model, switching regime
Subjects:	H Social Sciences > HB Economic Theory R Medicine > RA Public aspects of medicine > RA0421 Public health. Hygiene. Preventive Medicine
Departments:	Bayes Business School > Actuarial Science & Insurance

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