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  • FIML for endogenous switching model with an endogenous explanatory variable


    In an endogenous switching model, if there is an additional endogenous explanatory variable, I think we can either follow a control function approach (Murtazashvili and Wooldridge 2016), or a full information maximum likelihood approach. I tried both, but the full information maximum likelihood approach does not work out. I suspect I've made some stupid mistakes in writing up the likelihood function or the Stata codes. Hope someone can help me with this.

    For editing reasons, I posted my question here on StackExchange.
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