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DPB: Dynamic Panel Binary data models in Gretl

Riccardo (Jack) Lucchetti () and Claudia Pigini ()

No 1, gretl working papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: This paper presents the Gretl function package DPB for estimating dynamic binary models with panel data. The package contains routines for the estimation of the random-effects dynamic probit model proposed by Heckman (1981b) and its generalisation by Hyslop (1999) and Keane and Sauer (2009) to accommodate AR(1) disturbances. The fixed-effects estimator by Bartolucci and Nigro (2010) is also implemented. DPB is available on the Gretl function packages archive.

Keywords: Gretl function package; Random-Effects Dynamic Probit model; Quadratic Exponential model; Gauss-Hermite quadrature; simulated Maximum Likelihood; Conditional Maximum Likelihood (search for similar items in EconPapers)
JEL-codes: C23 C25 C63 (search for similar items in EconPapers)
Date: 2015-04-24, Revised 2015-04-24
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Citations: View citations in EconPapers (2) Track citations by RSS feed

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http://docs.dises.univpm.it/web/quaderni/pdfgretl/gretl001.pdf (application/pdf)

Related works:
Journal Article: DPB: Dynamic Panel Binary Data Models in gretl (2017) Downloads
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