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: [email protected]
phone: 39 06 4792-4377
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