Hi,
I need help with a command that allows me to do a simultaneous switching regression model with UNKNOWN regime classification (i.e. I don´t know whether the observations come from one regime or another). I want to estimate Demand and Supply simultaneously as per the Porter 1983 Paper "A study on cartel stability".
The issues I have been having are both to do with the fact that it is a simultaneous system of equation, but also with the fact that I do not know the regime. In Porter´s paper, I believe the dummy activates itself endogenously in the model and it also gives rise to different values of the coefficients but I do not know how to do this.
I have tried using switchr but this does not really do the dummy thing mentioned above, and it only gives me the different coefficients in both states but the coefficient on the dummy is a very important thing in Porter´s paper and I wouldn´t be able to get it from switchr - right?
Please let me know if you can help!!
I need help with a command that allows me to do a simultaneous switching regression model with UNKNOWN regime classification (i.e. I don´t know whether the observations come from one regime or another). I want to estimate Demand and Supply simultaneously as per the Porter 1983 Paper "A study on cartel stability".
The issues I have been having are both to do with the fact that it is a simultaneous system of equation, but also with the fact that I do not know the regime. In Porter´s paper, I believe the dummy activates itself endogenously in the model and it also gives rise to different values of the coefficients but I do not know how to do this.
I have tried using switchr but this does not really do the dummy thing mentioned above, and it only gives me the different coefficients in both states but the coefficient on the dummy is a very important thing in Porter´s paper and I wouldn´t be able to get it from switchr - right?
Please let me know if you can help!!
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