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:
Non ci sono file associati a questo prodotto.
I documenti in FLORE sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
