动态Probit模型及Stata实现

原文链接：https://www.lianxh.cn/news/9b7224e2808ff.html

目录

• 1. 背景简介
• 2. 动态 Probit 模型简介
  • 2.1 模型设定
  • 2.2 模型估计
• 3. Stata应用
  • 3.1 数据简介
  • 3.2 旧方法 (手动处理)
  • 3.3 新方法：外部命令 xtpdyn
• 4. 参考文献

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本篇推文介绍动态面板 Porbit 模型 (Dynamic Probit Model) 的背景、模型及 Stata 应用。

4. 参考文献

• Grotti, R. and Cutuli, G. Xtpdyn: A community-contributed command for fitting dynamic random-effects probit models with unobserved heterogeneity. The Stata Journal, 2018, 18(4): 844-862. [PDF]
• Rabe-Hesketh, S. and Skrondal, A. Avoiding biased versions of Wooldridge's simple solution to the initial conditions problem. Economics Letters, 2013, 120: 346-349. [PDF]
• Skrondal, A. and S. Rabe-Hesketh, S. Handling initial conditions and endogenous covariates in dynamic/transition models for binary data with unobserved heterogeneity. Journal of the Royal Statistical Society, 2014, 63(C): 211–237. [PDF]
• Wooldridge, J. M. Simple solutions to the initial conditions problem in dynamic, nonlinear panel data models with unobserved heterogeneity. Journal of Applied Econometrics, 2005, 20: 39-54. [PDF]

原文链接：https://www.lianxh.cn/news/9b7224e2808ff.html