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

Jack, sorry. Let's start with the clearer things first. The unbalanced nature appears both due to entries as well as exits. If I am conceptually wrong and the assumptions are violated, than I would agree, that it does not make much sense using an inadequate method. Well I guess the problem is, that a fund might have two different ranks in one time period, depending on the peer group that is used. I know, that in the literature to assess this kind of problem, multiple cross-sectional regressions are used and then you either look at each year (for example: Brown, Goetzman and Ibbotson (1999) - http://www.jstor.org/stable/10.1086/209603). I was hoping that a panel approach would yield better results. I could of course use the annual returns, that do not depend on other funds' performance, however, it is very likely that returns are not persistent due to moving markets. Therefore, the hypothesis was that relative performance is persistent. Sven: I see your point, yes, being above the median is clearly endogenous, nonetheless it is of interest, whether being above the median is repeatable . Maybe it would indeed be a better approach to run several cross-sectional regressions on a yearly basis. Jan -----Ursprüngliche Nachricht----- Von: Plus.line MailSystem [mailto:cyrus@mailer.plusline.de] Im Auftrag von Riccardo (Jack) Lucchetti Gesendet: Freitag, 17. Oktober 2014 13:20 An: Gretl list Betreff: Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl? On Fri, 17 Oct 2014, Jan Tille wrote: I must confess your problem is not exactly clear to me; I read your previous message several times and I can't make up my mind on it, but, like Sven said, I am doubtful as to whether applying a dynamic panel probit to your data is the right thing to do from a statistical point of view. The fact is, it sounds like the unbalancedness of your panel is endogenous: from what I gather, you'd have a peculiar form of panel attrition (on entry instead of exit, as is more common), so a few assumptions for the dynamic panel probit model would be violated and you'd get inconsistent estimates. That said: (1) I may be wrong (I usually am) (2) nobody is stopping you from using a dynamic panel probit model anyway, if only to see what happens if you do. Claudia and I will send you our code as soon as we manage to put togther some decent documentation to it. ------------------------------------------------------- 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 -------------------------------------------------------