Estimation of an endogenous switching regression model with discrete dependent variables: Monte-Carlo analysis and empirical application of three estimators

Ayal Kimhi

Empirical Economics, 1999, vol. 24, issue 2, 225-241

Abstract: The performances of alternative two-stage estimators for the endogenous switching regression model with discrete dependent variables are compared, with regard to their usefulness as starting values for maximum likelihood estimation. This is especially important in the presence of large correlation coefficients, in which case maximum likelihood procedures have difficulties to converge. Monte-Carlo simulations indicate that an estimator that corrects for conditional heteroskedasticity of the residuals is superior in almost all instances, and especially when maximum likelihood is problematic. This result is also obtained in an empirical example in which off-farm work participation equations of farm women are conditional on farm work participation status.

Keywords: Endogenous; switching; ·; discrete; dependent; variables; ·; two-stage; estimators; ·; Monte-Carlo; simulations; ·; farm; women's; off-farm; work; participation (search for similar items in EconPapers)
JEL-codes: C35 J22 Q12 (search for similar items in EconPapers)
Date: 1999-05-11
Note: received: July 1995/final version received: March 1998
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://link.springer.de/link/service/journals/00181/papers/9024002/90240225.pdf (application/pdf)
Access to the full text of the articles in this series is restricted

Related works:
Working Paper: Estimation of an Endogenous Switching Regression Model with Discrete Dependent Variables: Monte-Carlo Analysis and Empirical Application of Three Estimators (1995)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:24:y:1999:i:2:p:225-241

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().