Giorgio Calzolari, Maria Gabriella Campolo, Antonino Di Pino, Laura Magazzini
In this article, we describe the mlcar command, which implements amaximum like lihood method to simultaneously estimate the regression coefficients of a two-regime endogenous switching model and the coefficient measuring thecorrelation of outcomes between the two regimes. This coefficient, known as the “across-regime” correlation parameter, is generally unidentified in the traditionalestimation procedures.