Maximum likelihood estimation of an across-regime correlation parameter

Giorgio Calzolari, Maria Gabriella Campolo (), Antonino Di Pino () and Laura Magazzini
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Antonino Di Pino: University of Messina

Stata Journal, 2021, vol. 21, issue 2, 430-461

Abstract: In this article, we describe the mlcar command, which implements a maximum likelihood method to simultaneously estimate the regression coefficients of a two-regime endogenous switching model and the coefficient measuring the correlation of outcomes between the two regimes. This coefficient, known as the “across-regime” correlation parameter, is generally unidentified in the traditional estimation procedures.

Keywords: mlcar; mlcartestn; Roy model; endogenous switching; maximum likelihood; across-regime correlation (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/1536867X211025834

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