A direct Full Information Maximum Likelihood (FIML) 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, assuming normally distributed error terms, confirm consistency and relative efficiency of our direct FIML estimation.
Self-Selection and Direct Estimation of Across-Regime Correlation Parameter
CALZOLARI, Giorgio;DI PINO INCOGNITO, Antonino
2013-01-01
Abstract
A direct Full Information Maximum Likelihood (FIML) 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, assuming normally distributed error terms, confirm consistency and relative efficiency of our direct FIML estimation.File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
