Self-Selection and Direct Estimation of Across-Regime Correlation Parameter

Giorgio Calzolari and Antonino Di Pino ()
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Antonino Di Pino: Dipartimento S.E.A.M., Università di Messina

No 2014_04, Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"

Abstract: A direct Maximum Likelihood (ML) procedure to estimate the "generally unidentified" across-regime correlation parameter in a two-regime endogenous switching model is here provided. The results of a Monte Carlo experiment confirm consistency of our direct ML procedure, and its relative efficiency over widely applied models and methods. As an empirical application, we estimate a Two-Regime simultaneous equation model of domestic work of Italian married women in which the two regimes are given by their working status (employed or unemployed).

Keywords: Endogenous switching model; Across-regime correlation parameter (search for similar items in EconPapers)
JEL-codes: C31 C34 J22 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2014-03
New Economics Papers: this item is included in nep-ecm and nep-ore
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Related works:
Working Paper: Individual wage and reservation wage: efficient estimation of a simultaneous equation model with endogenous limited dependent variables (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:fir:econom:wp2014_04

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