Re: [Gretl-users] Is there a possibility to estimate a dynamic panel probit model in gretl?
On Wed, 15 Oct 2014, Sven Schreiber wrote:
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.
The function package I mentioned in my previous messages covers Heckman's
estimator, plus its generalisation by Keane and Sauer (Econometrica 2009).
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.
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).
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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
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