Maximum likelihood estimation of an across-regime correlation parameter

• Autores: Giorgio Calzolari, Maria Gabriella Campolo, Antonino Di Pino, Laura Magazzini
• Localización: The Stata journal, ISSN 1536-867X, Vol. 21, Nº. 2, 2021, págs. 430-461
• Idioma: inglés
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• Resumen

  • In this article, we describe the mlcar command, which implements amaximum like lihood method to simultaneously estimate the regression coefficients of a two-regime endogenous switching model and the coefficient measuring thecorrelation of outcomes between the two regimes. This coefficient, known as the “across-regime” correlation parameter, is generally unidentified in the traditionalestimation procedures.