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

Dear Peter, dear Jack, please forgive me to cause you so much inconvenience while trying to help me. Unfortunately I think, that your functions, might probably not work for my model/problem. The reason why I think this might be is that I have seen in the gretl documentation, that "dpanel" requires the definition of the lag p. Well basically, my lag is p=1, so far so good. However, the problem lies in my data. Please let me explain (though it is not directly related to gretl, but more general) my problem. I am trying to estimate whether an individual whose variable of interest is above the sample median (y>=median => y*=1, else 0) in period t has a significantly positive probability to repeat being above the sample median in t+1 (p=1), "conditional" upon the individuals that were already in my sample in period t. Going forward in time, more and more individuals enter the sample (i.e. an unbalanced panel). However, this means, while an individual might be above the median in period t+1, "conditional" on upon the individuals exisiting in period t, it might as well be below the median in the new period t, when the new individuals entered the sample. I don't know if that is clear, maybe an stylized example brings more clarity. Lets assume that there are three 12-Months periods for a sample of mutual funds. In t=1 I calculate that fund i's compound return equals 5% and that this is above the median for all funds with a full 12-months series of returns. In t=2 I calculate the fund i's return again and it equals -2%, but is still above the median for period t=2 and all funds that were available in period 1. Meanwhile new funds entered the market that also have a 12-month history by the end of period 2, which is then relevant, to assess whether funds above the median in period 2 are also above the median in period 3. Now, ranking all funds available at the end of period 2, it might be that the -2% are no longer above the median of all funds. You see, I can not simply take the lag, as is suggested in "dpanel" I hope, it could make it clear, that it is not a gretl problem at this stage, but a data problem. Again, sorry to cause so much inconvenience. Kind regrads, Jan t=1 t=2 t=3 1 5% -2% 1% 2 1% 1% 2% 3 2% -3% 3% 4 3% -4% 4% 5 4% -5% 5% 6 2% 6% 7 3% 7% 8 4% 8% 9 5% 9% -----Ursprüngliche Nachricht----- Von: Plus.line MailSystem [mailto:cyrus@mailer.plusline.de] Im Auftrag von Summers, Peter Gesendet: Donnerstag, 16. Oktober 2014 22:22 An: r.lucchetti(a)univpm.it; Gretl list Betreff: Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl? I've also got a "balanced" flag in my script that allows for unbalanced data. PS -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of Riccardo (Jack) Lucchetti Sent: Thursday, October 16, 2014 12:00 PM To: Gretl list Subject: Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl? On Thu, 16 Oct 2014, Jan Tille wrote: The functions Claudia and I are working on should work ok with unbalanced panels too. We should be able to send you something tomorrow so you can try things out. Of course, if others are interested, just drop us a line: the more people help debugging the code, the better. ------------------------------------------------------- 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