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st: Switching model

From   "Axel Heitmueller" <>
Subject   st: Switching model
Date   Fri, 7 Feb 2003 14:45:47 -0000

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



Axel Heitmueller, 
Centre for Economic Reform and Transformation, CERT
School of Management
Heriot-Watt University
EH14 4AS
phone +44(0)131 451 3969
fax +44 (0)131 451 3296
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