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DPB: Dynamic Panel Binary data models in Gretl

Author Info

Listed author(s):
  • Riccardo Lucchetti

    ()

    (Universita' Politecnica delle Marche, Dipartimento di Scienze economiche e sociali)

  • Claudia Pigini

    ()

    (Universita' Politecnica delle Marche, 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.

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File URL: http://docs.dises.univpm.it/web/quaderni/pdfgretl/gretl001.pdf
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Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series gretl working papers with number 1.

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Length: 32
Date of creation: 24 Apr 2015
Date of revision: 24 Apr 2015
Handle: RePEc:anc:wgretl:1
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Web page: http://www.dises.univpm.it/

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Keywords: Gretl function package; Random-Effects Dynamic Probit model; Quadratic Exponential model; Gauss-Hermite quadrature; simulated Maximum Likelihood; Conditional Maximum Likelihood;

Find related papers by JEL classification:

  • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
  • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
  • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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Cited by:

  1. repec:jss:jstsof:v:078:i07 is not listed on IDEAS
  2. Bartolucci, Francesco & Pigini, Claudia, 2017. "cquad: An R and Stata Package for Conditional Maximum Likelihood Estimation of Dynamic Binary Panel Data Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 78(i07).

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