{smcl} {* *! version 1.0.0 02mar2018} {...} {cmd:help xtpdyn} {hline} {title:Title} {p2colset 5 16 20 2}{...} {p2col :{hi:xtpdyn} {hline 2}}estimates dynamic random effects probit model with unobserved heterogeneity{p_end} {p2colreset}{...} {title:Sintax} {p 4 10 2} Model specification {p 4 10 2} {cmd:xtpdyn} {depvar} {indepvars} {ifin} [{it:{help meprobit##weight:weight}}] {cmd:, uh({varlist})} [{cmd:re({it:{help meprobit##reoptions:RE_options}})}] {p 4 10 2} Utilities {p 4 10 2} {cmd:xtpdyn} {cmd:[, keep | drop]} {title:Description} {p 4 4 2} {cmd:xtpdyn} fits dynamic random-effects probit models ({help meprobit} and {help 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. {p 4 4 2} 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. {p 4 4 2} {cmd:xtpdyn} supports {help probat} postestimation command. {p 4 4 2} {cmd:xtpdyn} supports {help meprobit_postestimation}. This requires the needed variables to be created using {cmd: xtpdyn, keep}. {phang} {cmd:by} is allowed. {marker options}{...} {title:Options} {dlgtab:Main} {phang} {cmd:uh({varlist})} specifies time-varying {indepvars} that contribute to unobserved heterogeneity in {varlist}. This option is required. {phang} {cmd:re({it:{help meprobit##reoptions:RE_options}})} random-effects options for {help meprobit} are allowed.{p_end} {dlgtab:Utilities} {phang} {cmd:xtpdyn} shows the last {cmd:xtpdyn} estimates {phang} {cmd:keep} re-generates and keeps the variables in {cmd:uh()}. {phang} {cmd:drop} drops the variables in {cmd:uh()} generated by {cmd:keep}.{p_end} {marker results}{...} {title:Stored results} {pstd} In addition to the results stored by {help meprobit}, {cmd:xtpdyn} stores the following in {cmd:e()}: {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Macros}{p_end} {synopt:{cmd:e(depvar)}}dependent variable name{p_end} {synopt:{cmd:e(varlist)}}list of independent variables{p_end} {synopt:{cmd:e(uh)}}list of variables specified in {cmd:uh()}{p_end} {synopt:{cmd:e(if)}}content of the {cmd:if} qualifier{p_end} {marker examples}{...} {title:Examples} {pstd}Setup{p_end} {phang2}{cmd:. use poverty}{p_end} {phang2}{cmd:. xtset id year}{p_end} {pstd}Dynaminc random-effects probit model with unobserved heterogeneity{p_end} {phang2}{cmd:. xtpdyn poor black c.age i.edu i.emp i.marstat, uh(i.emp i.marstat age)} {pstd}Dynaminc random-effects probit model with unobserved heterogeneity and robust variance{p_end} {phang2}{cmd:. xtpdyn poor black c.age i.edu i.emp i.marstat, uh(i.emp i.marstat age) re(vce(robust))} {pstd}Generate variables contributing to unobserved heterogeneity{p_end} {phang2}{cmd:. xtpdyn, keep} {marker references}{...} {title:References} {p 4 8 2} Rabe-Hesketh, S. and A. Skrondal 2013. Avoiding biased versions of Wooldridge's simple solution to the initial conditions problem. {it:Economics Letters} 120: 346{c -}349. {p 4 8 2} Wooldridge, J.M. 2005. Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity. {it:Journal of Applied Econometrics} 20: 39{c -}54. {title:Authors} {phang}Raffaele Grotti {p_end} {phang}The Economic and Social Research Institute{p_end} {phang}Whitaker Square{p_end} {phang}Sir John Rogerson's Quay, Dublin 2{p_end} {phang}Ireland{p_end} {phang}Giorgio Cutuli {p_end} {phang}Department of Sociology and Social Research{p_end} {phang}University of Trento{p_end} {phang}Via Verdi, 26-I-38122 Trento{p_end} {phang}Italy{p_end} {title:Also see} {phang} {help probat} {help meprobit} {help meprobit_postestimation} {help xtprobit} {p 4 4 2} For further details on model implementation and a more detailed example see: {p 4 8 2} Grotti, R. and G. Cutuli 2018. {browse "https://www.researchgate.net/publication/323524968_Estimating_dynamic_random_effects_probit_model_with_unobserved_heterogeneity_using_Stata":Estimating dynamic random effects probit model with unobserved heterogeneity using Stata}