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DPB: Dynamic Panel Binary Data Models in gretl
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DOI：10.18637/jss.v079.i08.png)
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Abstract
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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
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622
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