Self-selection and direct estimation of across-regime correlation parameter

Giorgio Calzolari and Antonino Di Pino

Journal of Applied Statistics, 2017, vol. 44, issue 12, 2142-2160

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).

Date: 2017
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Related works:
Working Paper: Self-Selection and Direct Estimation of Across-Regime Correlation Parameter (2014)
Working Paper: Individual wage and reservation wage: efficient estimation of a simultaneous equation model with endogenous limited dependent variables (2009)
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DOI: 10.1080/02664763.2016.1247789

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