I have 20 years of panel data in tsset format. I like to estimate the transition probabilities of immigrants who exit the host country, stay out for a couple of years, then come back, and maybe exit again. I have many repeats. Markov switching with 2 states is a great tool for this. The person years have missing values in all variables while immigrants are away, however. Do I keep these person years when people are abroad? Does stata and mswitch take care of the missing values ? How does this work? I am a bit confused. Thanks a lot for helping me out.
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