Folks,
This is an econometrics question rather than a Gretl question, so apologies in advance.
I’ve estimated an ordered probit on a panel data set with lagged regressors. Gretl seems to automatically include the same number of lags of the dependent variable, and I’m wondering why that is. So far I haven’t been able to find a reference
for this – nothing in the user’s guide, Lee’s ebook, or Greene, AFAICS. If anyone could help me out, I’d appreciate it.
Thanks!
PS