*! version 1.0.0 02mar2018
help xtpdyn

Title

xtpdyn -- estimates dynamic random effects probit model
with unobserved heterogeneity

Sintax

Model specification

xtpdyn depvar indepvars [if] [in] [weight]
, uh(varlist) [re(RE_options)]

Utilities

xtpdyn [, keep | drop]

Description

xtpdyn fits dynamic random-effects probit models (meprobit and xtprobit) with
unobserved heterogeneity. It implements Wooldridge simple solution to the
initial condition problem (2005) in the alternative proposed by Rabe-Hesketh
and Skrondal (2013).
Unobserved heterogeneity is address by the inclusion in the model of the initial
period value of the dependent variable and the initial period and within-unit averages
of time-varying explanatory variables.

State dependence is modelled as a t-1 lag in the outcome variable. Note that the lag
respects the time variable, being it a time-series operator. Compact panels
are thus preferable.

xtpdyn supports probat postestimation command.

xtpdyn supports meprobit_postestimation. This requires the needed
variables to be created using xtpdyn, keep.

by is allowed.

Options

Main

uh(varlist) specifies time-varying indepvars that contribute
to unobserved heterogeneity in varlist. This option is required.

re(RE_options) random-effects
options for meprobit are allowed.

Utilities

xtpdyn shows the last xtpdyn estimates

keep re-generates and keeps the variables in uh().

drop drops the variables in uh() generated by keep.

Stored results

In addition to the results stored by meprobit,
xtpdyn stores the following in e():

Macros

e(depvar) dependent variable name

e(varlist) list of independent variables

e(uh) list of variables specified in uh()

e(if) content of the if qualifier

Examples

Setup

. use poverty

. xtset id year

Dynaminc random-effects probit model with unobserved heterogeneity

. xtpdyn poor black c.age i.edu i.emp i.marstat, uh(i.emp i.marstat age)

Dynaminc random-effects probit model with unobserved heterogeneity and robust variance

. xtpdyn poor black c.age i.edu i.emp i.marstat, uh(i.emp i.marstat age) re(vce(robust))

Generate variables contributing to unobserved heterogeneity

. xtpdyn, keep

References

Rabe-Hesketh, S. and A. Skrondal 2013.
Avoiding biased versions of Wooldridge's simple solution to the initial conditions problem.
Economics Letters 120: 346-349.

Wooldridge, J.M. 2005.
Simple solutions to the initial conditions problem in dynamic, nonlinear panel data
models with unobserved heterogeneity.
Journal of Applied Econometrics 20: 39-54.

Authors

Raffaele Grotti <raffaele.grotti@esri.ie>

The Economic and Social Research Institute

Whitaker Square

Sir John Rogerson's Quay, Dublin 2

Ireland

Giorgio Cutuli <g.cutuli@unitn.it>

Department of Sociology and Social Research

University of Trento

Via Verdi, 26-I-38122 Trento

Italy

Also see

probat meprobit meprobit_postestimation xtprobit

For further details on model implementation and a more detailed example see:

Grotti, R. and G. Cutuli 2018.
Estimating dynamic random effects probit model with unobserved heterogeneity using Stata