Dear listers,
I try to conduct switching regression without using
movestay which requires Stata8.
Specification
y1=a1+b1x1+u1 if d=1
y2=a2+b2x2+u2 if d=0
d=cz+v
Command in Stata7
probit d z
predict phat,xb
gen
mills1=exp(-.5*phat^2)/(sqrt(2*_pi)*normprob(phat))
gen
mills2=exp(-.5*phat^2)/(1-(sqrt(2*_pi)*normprob(phat)))
reg y1 x1 mills1
reg y2 x2 mills2
Is this correct? Any help will be appreciated.
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