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Using Stata to estimate dynamic correlated random effectsprobit models with unbalanced panels

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorAlbarrán, Pedro
dc.contributor.authorCarrasco, Raquel
dc.contributor.authorCarro, Jesús M.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2020-04-14T17:41:35Z
dc.date.available2020-04-14T17:41:35Z
dc.date.issued2020-04-14
dc.description.abstractThis paper implements the estimation of dynamic probit correlated random effects (CRE) models with unbalanced panel data. The type of models we consider include a lag of the endogenous variable and other explanatory variables that are strictly exogenous. We introduce a Stata package, xtprobitunbal; this command estimates these models allowing for the unbalancedness process to be correlated with the time-invariant unobserved heterogeneity. It reduces the computational burden of the maximum likelihood (ML) estimation, while keeping its good asymptotic properties.We also introduce the command mgf_unbal to compute the marginal effects ofthe variables of the model and its standard errors. Finally, we study the estimation of CRE unbalanced panel data probit models by ML estimation and under more restrictive assumptions than the ones considered by xtprobitunbal, discussing the main problems to implement them.en
dc.identifier.issnISSN 2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/30116
dc.identifier.uxxiDT/0000001742es
dc.language.isoenges
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries20-02es
dc.relation.projectIDGobierno de España. RTI2018-095231-B-I00es
dc.relation.projectIDGobierno de España. ECO2017-87069-Pes
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC23
dc.subject.jelC25
dc.subject.otherUnbalanced panelsen
dc.subject.otherCorrelated random effectsen
dc.subject.otherDynamic non-linear modelsen
dc.subject.otherStataes
dc.titleUsing Stata to estimate dynamic correlated random effectsprobit models with unbalanced panelses
dc.typeworking paper*
dspace.entity.typePublication
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