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st: switching regression with panel


From   Manuela Deidda <mdeidda@stern.nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: switching regression with panel
Date   Mon, 13 Oct 2008 12:58:59 -0400 (EDT)

Dear all,
does anyone know how to estimate an endogenous switching regression with panel data in stata? 
I have a 2 year panel, in which the dependent variable is the rate of growth of consumption between t and t+1, and the explanatory variables are the variance of consumption growth, the change in family size, and some demographics. In the selection equation the dependent variable is a dummy which takes value 1 if the household was liquidity constrained at time t, 0 otherwise. 
I was using the command "movestay", but it only works with cross section, and I have a panel (random effect). 
 I am not sure if the switching should be endogenous, then I need some statistics as rho in movestay to assess that.

I really appreciate your help,
sincerely,
manuela
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