Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl?
Am 15.10.2014 um 08:23 schrieb Jan Tille:
Dear users,
I have a question, is there a fuction to estimate a dynamic probit panel
model in gretl? I have only seen panel models and dynamic panel models
in the user guide, but neither probit panel nor dynamic probit panel models.
Thanks in advance,
Well the short answer is: I don't think so.
The longer answer would be: Do you know which approach you want to use?
The theory for nonlinear non-exogenous models with individual-specific
effects is not trivial, and AFAIK various things have been proposed in
the literature.
Having said that, I guess the following suggestion would be relatively
easy to implement with gretl and hansl (the scripting language):
Wooldridge, Jeffery M. (2005), ‘Simple solutions to the initial
conditions problem in dynamic, nonlinear panel data models with
unobserved heterogeneity’, Journal of Applied Econometrics, 20: 39–54.
cheers,
sven