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.
Maximum likelihood estimation of an across-regime correlation parameter
Campolo, Maria Gabriella;Di Pino, Antonino;
2021-01-01
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.File in questo prodotto:
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