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st: Endogenous switching regression model


From   Marcello Pagano <[email protected]>
To   [email protected]
Subject   st: Endogenous switching regression model
Date   Fri, 10 Dec 2004 14:17:55 -0500

Posting this for Menale:

menale kassie wrote:

<>

I have a couple of questions.

1) I want to use fixed effects estimations in the second stage. At the same time I want to apply the full information MLE. Is there a stata command that can accommodate this?

2) Recently Wooldridge in his book (econometric analysis of cross section and panel data) proposed to use Tobit residuals as selection correction instead of inverse mills ratio. Is it possible to use Tobit residuals in the context of endogenous switching regression model? If yes, would you please help me how can I use the residuals for each regime?

Any help will be appreciated.

Menale

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