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st: switching regression model with unknown regimes


From   "MAGRI SILVIA" <SILVIA.MAGRI@bancaditalia.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: switching regression model with unknown regimes
Date   Thu, 23 Mar 2006 09:10:00 +0100

Dear Statalist readers,

 

I am trying to estimate a switching regression model with unknown regimes.

Basically, I want to estimate an Euler equation for optimal consumption choice for two groups: 1) one that is unconstrained and 2) the other that is supposed to be liquidity constrained.

I have tried the user-written command –movestay-, which is a very nice command, but it refers to a model where the regime is known, i.e. you know in advance whether an observation belongs to either a group or to the other.

On the contrary, I would like to obtain the estimation referring to the regime equation from a joint estimation of the main and the regime equation by max the likelihood. The switchr command, another user-written command, is not completely satisfying because it does not max the likelihood, but in the end it relies on an OLS estimation and on an initial guess on which group the observation belongs. I know that people have max the joint likelihood such as the one I have in mind using Gauss and I would like to do it using Stata, possibly starting from the d2 evaluator used in the –movestay- command and by modifying it allowing for unknown regimes.

Is there anyone that has already tried to do something in this direction or can give some advice?

 

Thanks for your help

 

Silvia Magri

 

Research Department

Banca d'Italia

Via Nazionale 91 - Roma

 

e-mail: silvia.magri@bancaditalia.it

phone: 39 06 4792-4377

 

 

 

 


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