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Estimation of an endogenous switching regression model with discrete dependent variables: Monte-Carlo analysis and empirical application of three estimators

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  • Ayal Kimhi

    ()
    (Department of Agricultural Economics and Management, Hebrew University, P.O. Box 12, Rehovot 76100, Israel)

Abstract

The performances of alternative two-stage estimators for the endogenous switching regression model with discrete dependent variables are compared, with regard to their usefulness as starting values for maximum likelihood estimation. This is especially important in the presence of large correlation coefficients, in which case maximum likelihood procedures have difficulties to converge. Monte-Carlo simulations indicate that an estimator that corrects for conditional heteroskedasticity of the residuals is superior in almost all instances, and especially when maximum likelihood is problematic. This result is also obtained in an empirical example in which off-farm work participation equations of farm women are conditional on farm work participation status.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 24 (1999)
Issue (Month): 2 ()
Pages: 225-241

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Handle: RePEc:spr:empeco:v:24:y:1999:i:2:p:225-241

Note: received: July 1995/final version received: March 1998
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Related research

Keywords: Endogenous switching · discrete dependent variables · two-stage estimators · Monte-Carlo simulations · farm women's off-farm work participation;

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Cited by:
  1. Catherine Benjamin & Ayal Kimhi, 2006. "Farm work, off-farm work, and hired farm labour: estimating a discrete-choice model of French farm couples' labour decisions," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 33(2), pages 149-171, June.
  2. Steinbuks, J., 2008. "Financial constraints and firms' investment: results of a natural experiment measuring firm response to power interruption," Cambridge Working Papers in Economics 0844, Faculty of Economics, University of Cambridge.
  3. Li, Jinghan & Zepeda, Lydia & Gould, Brian W., 2007. "The Demand for Organic Food in the U.S.: An Empirical Assessment," Journal of Food Distribution Research, Food Distribution Research Society, vol. 38(3), November.
  4. Blomquist, Glenn C. & Dickie, Mark & O'Conor, Richard M., 2011. "Willingness to pay for improving fatality risks and asthma symptoms: Values for children and adults of all ages," Resource and Energy Economics, Elsevier, vol. 33(2), pages 410-425, May.

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