Dear All,
I want to apply an endogenous regime switching model with unknown sample separation. This method has been recently applied by Almeida and Campello 2007 Review of Financial Studies: Financial constraints, asset tangibility, and corporate investment. Therefore I downloaded "swithr" command of Stata. May I kindly ask you to answer my 4 questions below. Any help for any of the questions will be greatly appreciated.
Oktay
I want to apply an endogenous regime switching model with unknown sample separation. This method has been recently applied by Almeida and Campello 2007 Review of Financial Studies: Financial constraints, asset tangibility, and corporate investment. Therefore I downloaded "swithr" command of Stata. May I kindly ask you to answer my 4 questions below. Any help for any of the questions will be greatly appreciated.
- Is there any chance to test differences of coefficients across 2 regimes using this code?
- How can I save log likelihood function of the overall model?
- If one wants to test superiority of 2 regime model to just 1 regime, what should be the degrees of freedom in likelihood ratio test? I would greatly appreciate if you can give me an example.
- Can one have 3 or 4 regimes as opposed to 2 produced by this code?
Oktay
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