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

Laura Magazzini
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.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11382/541470
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