hi there,
I'm working on a switching model similar to the one in Maddala
(1983), two stage methods for switching regression models. I've got
two regimes
y1=x1b+u1 if P=1
y2=x2b+u2 if P=0
and it is basically very similar to a two stage heckman where in the
first step a probit and the inverse mills ratio are fitted which is then
included in the second step regression. I was wondering if there is
any routine other than `switchr' to tackle this kind of model as it
requires a heckman adjusted VCE
cheers
axel
Axel Heitmueller,
Centre for Economic Reform and Transformation, CERT
School of Management
Heriot-Watt University
Edinburgh
EH14 4AS
UK
phone +44(0)131 451 3969
fax +44 (0)131 451 3296
[email protected]
www.som.hw.ac.uk/somah3/
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