Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl?

Jan, I've got a script that estimates a Bayesian dynamic panel probit model as described in Koop, Poirier & Tobias. It's not in function package form yet, but if you give me a couple days I could get you a more-or-less user-friendly version. Jack, I'd be glad to do a swap with you too -- it'd certainly be useful for me to compare my results with a frequentist version. Cheers, Peter -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Jan Tille Sent: Wednesday, October 15, 2014 7:06 AM To: r.lucchetti(a)univpm.it; Gretl list Subject: Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl? Sven: First, let me thank you for your answer as well as providing the source of Wooldridge estimator. Indeed, you are right, such models are not trivial at all. Jack: Great to hear, that you and Ms. Pigini are developing a function package for these kind of models. I am not an expert, but I have read that the Heckman has a higher precision than Wooldrige and is also less subject to bias. Furthermore, if I could be of help testing your package, then I am happy to offer it, but I do not have Stata or any other econometric software at hand, to compare the results ( I am not sure if R provides a package (maybe pglm) for dynamic panel probit, anyway even if it should be possible within R, gretl is much more user friendly and has better documentation, which I am really appreciate). All I can offer is to run your functions on my data set and send the results to you. Furthermore, I can share my data set with you, so that you can benchmark the results. I would come back to you on Friday, because this is the only time of the week, when I have enough time to concentrate on such complex issues. Again, thank you Jack and Sven. Regards, Jan -----Ursprüngliche Nachricht----- Von: Plus.line MailSystem [mailto:cyrus@mailer.plusline.de] Im Auftrag von Riccardo (Jack) Lucchetti Gesendet: Mittwoch, 15. Oktober 2014 09:21 An: Gretl list Betreff: Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl? On Wed, 15 Oct 2014, Sven Schreiber wrote: The function package I mentioned in my previous messages covers Heckman's estimator, plus its generalisation by Keane and Sauer (Econometrica 2009). Wooldridge's estimator is already available, since it doesn't require more than a routine for RE probit, which we already have (the probit command with the --random-effects option). ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti ------------------------------------------------------- _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users