Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Manuela Deidda <manuelad.deidda@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: switching regression - endogenous variable in the main equation |

Date |
Mon, 21 Jan 2013 17:07:51 +0100 |

Dear statalisters, I would like to estimate a switching regression model with known sample selection. My model looks like this: y= a+ b1*x + b2*v +e (main equation) I=f(z)+u (selection equation) The need to estimate a switching regression rather than simply a sample split derives from the fact that the error term of the main equation (e) is correlated with the error term in the selection equation (u). The dependent variable in the selection equation (I) is a binary variable, assuming value 0 and 1. The main equation needs to be estimated when I=0 and when I=1. With the command "movestay", one can estimate simultaneously the main equation in the two regimes, together with the selection equation. I am interested in variable v. In particular, I want to check whether the coefficient associated to variable v in regime 1 (I=0) is statistically different from the coefficient associated to v in regime 0 (I=1). However, variable v in the main equation, is endogenous. Therefore, it needs to be instrumented. In the standard case (all regressors in the main equation are exogenous), the movestay command works well. However, I don't know how to deal at the same time with the endogeneity problem related to the variable v in the main equation and the need to estimate a switching regression model. Thanks in advance for your help! Manuela * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**Re: st: Cut-off point for ROC curve using parametric and non-parametric method** - Next by Date:
**Re: st: Levelsof for more than one Variable** - Previous by thread:
**st: Is there any stata command that can calculate the "Mhalanobis Distance" in Mata?** - Next by thread:
**st: new package -sparkline- on SSC** - Index(es):