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st: Endogenous switching regression for a binary outcome


From   "Stephen P. Jenkins" <stephenj@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Endogenous switching regression for a binary outcome
Date   Thu, 16 Oct 2008 09:35:08 +0100

++++++++++++++++++++++++++++++++++++
Date: Wed, 15 Oct 2008 20:44:51 -0400
From: Chad Navis <chadnavis@hotmail.com>
Subject: st: Endogenous switching regression for a binary outcome

Dear statalist,

I would like to estimate an endogenous switching regression model in
stata where the "y" or outcome variable is binary.  The "movestay" ado
seems perfect for what I would like to do, but it appears to require a
continuous outcome variable.  Is there a way in stata to estimate an
endogenous switching regression model when the outcome takes a
standard 0/1 binary structure?

<snip>
+++++++++++++++++++++++++++++

Would variants of a multivariate probit model (with selection) serve
your purpose?   Presumably you have a 'selection' equation describing
the regime into which the obs switches, and then a regime-specific
binary outcome regression model. And you want to allow for correlated
unobservables across the three equations?   So, all in all, a
trivariate probit with selections?  
If so, see the example in  "Calculation of multivariate normal
probabilities by simulation, with applications to maximum simulated
likelihood estimation" (Jenkins SP and Cappellari L, The Stata
Journal, 6 (2), June 2006, 156-189 ), and the references therein.  A
pre-print version is available as an ISER Working Paper if you can't
access the SJ version.

Stephen
-------------------------------------------------------------
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Director, Institute for Social and Economic Research
University of Essex, Colchester CO4 3SQ, U.K.
Tel: +44 1206 873374.  Fax: +44 1206 873151.
http://www.iser.essex.ac.uk  
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/teaching/degree/stephenj/ec968/ 
Downloadable papers and software: http://ideas.repec.org/e/pje7.html

Learn about the UK's new household panel survey, "Understanding
Society": http://www.understandingsociety.org.uk/



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