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)
Pages: 32
Date: 2015-04-24, Revised 2015-04-24
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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