DPB: Dynamic Panel Binary Data Models in gretl

DPB: Dynamic Panel Binary Data Models in gretl

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 randomeffects dynamic probit model proposed by Heckman (1981b) and its generalisation by Hyslop (1999) and Keane and Sauer (2009) to accomm...

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Bibliographic Details
Main Authors: Riccardo Lucchetti, Claudia Pigini
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2017-08-01
Series:Journal of Statistical Software
Subjects:
gretl function package
random-effects dynamic probit model
quadratic exponential model
gauss-hermite quadrature
simulated maximum likelihood
conditional maximum likelihood
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/2567
Description
Summary: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 randomeffects 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.
ISSN:1548-7660

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