A mixture of ordered probit models with endogenous switching between two latent classes

Jochem Huismans, Andrei Sirchenko and Jan Willem Nijenhuis
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Jochem Huismans: Universiteit van Amsterdam
Jan Willem Nijenhuis: Universiteit Twente

German Stata Users' Group Meetings 2022 from Stata Users Group

Abstract: Ordinal responses can be generated, in a time-series context, by different latent regimes or, in a cross-sectional context, by different unobserved classes of population. We introduce a new command, swopit, that fits a mixture of ordered probit models with either exogenous or endogenous switching between two latent classes (or regimes). Switching is endogenous if the unobservables in the class-assignment model are correlated with the unobservables in the outcome models. We provide a battery of postestimation commands, assess by Monte Carlo experiments the finite-sample performance of the maximum likelihood estimator of the parameters, probabilities and their standard errors (both the asymptotic and bootstrap ones), and apply the new command to model the policy interest rates.

Date: 2022-06-10
New Economics Papers: this item is included in nep-dcm and nep-ecm
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Journal Article: A mixture of ordered probit models with endogenous switching between two latent classes (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:dsug22:02

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