Posting this for Menale:
menale kassie wrote:
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I have a couple of questions.
1) I want to use fixed effects estimations in the second stage. At the
same time I want to apply the full information MLE. Is there a stata
command that can accommodate this?
2) Recently Wooldridge in his book (econometric analysis of cross
section and panel data) proposed to use Tobit residuals as selection
correction instead of inverse mills ratio. Is it possible to use Tobit
residuals in the context of endogenous switching regression model? If
yes, would you please help me how can I use the residuals for each
regime?
Any help will be appreciated.
Menale
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