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 / Giorgio Calzolari; Antonino Di Pino. - STAMPA. - (2013), pp. 73-76. (Intervento presentato al convegno CLADAG 2013 tenutosi a San Geminiano - Modena, Italy nel Sept. 18-20, 2013).
Self selection and direct estimation of across-regime correlation parameter
CALZOLARI, GIORGIO;
2013
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:
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