I am trying to use proc qlim to estimate the following endogenous switching model. But, I am not sure how to do clustering (e.g. clustering by firm ID or industry) in proc qlim. Can anyone help me out? Thank you very much!!
proc qlim data=a;
model y1 = x1 x2 x3 /discrete;
model y2 =x4 x5 x6 / select(y1=1);