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I want to estimate a dynamic multinomial panel data model which distinguishes between true structural state dependence and unobserved heterogeneity by including laged state dummies as explanatory variables and individual random effects to control for the unobserved characteristics.
Due to the presence of lagged dependent variables an initial conditions problem arises. I want to deal with it in the same way as in Heckman (The incidental parameters problem and the problem of initial conditions in estimating a discrete time-discrete data stochastic process). For the first period I want to use static multinomial logit model with random effects (with different slope parameters) but without including lagged dependent variables. For other time periods model with lagged dependent variables is considered.
Can anyone tell me if it is possible to implement the described procedure in -gllamm-? If you need more details please let me know.
Any help would be very much appreciated.
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