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st: GLLAMM and mlogit with state dependence
I have a longitudinal data on firms and my dependent variable is a discrete choice variable with three alternatives. I am estimating multinomial logit model with random intercept and would like to analyze state dependence in this setting since I expect that the past values of the dependent variable may affect the current choice. I would like to ask whether it is possible to just include a lagged dependent variable in the regression? Or do I need to consider initial conditions?
I would be grateful for any advice in this question.
Thank you in advance.
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