# Re: st: switching reg without using switchr

 From To statalist@hsphsun2.harvard.edu Subject Re: st: switching reg without using switchr Date Mon, 1 Dec 2003 15:00:30 +0900 (JST)

Dear all,
I have dataset on firms' performance for both participants in public scheme and non-participants and need to estimate treatment effects controlling for endogeneous sample selection.
A main equation is specified as follows,
P1=x1*beta1+e1 if delta=1, where P1 is performance of participants
P2=x2*beta2+e2 if delta=0, where P2 is performance of non-participants
A regime equation is specified as follows,
S=Z*gamma+u, where S is a latent variable.
delta=1 if S>0, =zero otherwise, where delta is an observable dummy.

It conducts ols instead of probit for a regime equation and yeilds the results with the same number of observations for both of main equations for P1 and P2.
Does anybody know how to conduct switching regression without using switchr?

--- statalist@hsphsun2.harvard.edu ---

>
>Could you explain a little bit more what you are looking for?
>Could you write the equations?
>
>Are you looking for something like
>Lee, Lung-Fei (1978) "Unionism and Wage Rates: A Simultaneous Equations
>Model with Qualitative and Limited Dependent Variables", International
>Economic Review, Vol. 19(2), pp. 415-433.
>which is an extention of Heckman characterized by the following equations
>W1=x1*beta1+e1 if S==1
>W2=x2*beta2+e2 if S==0
>S=(W1-W2)*delta+ z*gamma+e3
>(I am being a bit sloppy with the notation for the latent variable and with
>the assumption on the error)
>where the S equation is estimated by probit
>
>If so, unfortunately, there is no pre-made program (to my knowledge) to do
>this. It is reasonalby easy to do the estimation of the coefficients on your
>own thougth, following the explanation in the article given above using
>-probit-
>-predict-
>-by , estimationcommand-
>-predict-
>-predict-
>-probit-
>
>The standard errors will be wrong though (too small), you have to adjust
>them.
>
>Best,
>Renzo
>
>
>----------------------------------------------------------------------------
>----
>To   statalist@hsphsun2.harvard.edu
>Subject   st: switching reg without using switchr
>Date   Sun, 30 Nov 2003 21:40:40 +0900 (JST)
>
>Dear statalisters,
>I would like to run a switching regression on stata7.
>It conducts ols instead of probit for the regime equation and yeilds the
>results with the same number of observations for both of the main
>equations(equations for regime1 and regime2).
>Does anybody know how to conduct switching regression without using switchr?