I am working on informality and segmentation. I want to argue that the labor market is segmented by using a switching regression model. For the empirical part of my paper I used the command ...
Endogenous Switching ∙Suppose y 2 is binary and interacts with an unobservable. If y 2 also interacts with z 1 we have an unrestricted “endogenous switching regression” model: y 1 1 1y 2 z 1 1 y 2 z 1 − 1 1 u 1 y 2v 1 (21) where 1 E z 1 and 1 is the average treatment effect. 24 ∙
regime-switching autoregression models enable you to characterize the dynamics of stock returns, identify the market states, and forecast the value at risk (VaR). The second example uses regime-switching regression to explore the relationship and movement between the Japanese yen and another East Asian currency, the Thai baht.
Hamilton (1989) regime-switching model, in which the state process is serially dependent. In the next section we lay out a two-regime Markov-switching regression model with endogenous switching and discuss maximum likelihood estimation. Section 3 generalizes this model to the N-regime case. Section 4
Stata - Help for switchr command. Ask Question Asked 6 years, ... I'm trying to perform a markov switching regression model in stata using the command switchr.
First, regression analysis is widely used for prediction and forecasting, where its use has substantial overlap with the field of machine learning. Second, in some situations regression analysis can be used to infer causal relationships between the independent and dependent variables. Importantly, regressions by themselves only reveal ...
Estimating Markov-switching regression models in Stata Ashish Rajbhandari Senior Econometrician StataCorp LP Stata Conference 2015 Ashish Rajbhandari (StataCorp LP) Markov-switching regression Stata Conference 2015 1 / 31