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st: RE: xtabond for logit models?


From   "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtabond for logit models?
Date   Mon, 31 Mar 2008 10:15:14 -0400

Margit,

There are material in non-linear dynamic panels (logit or probit). You
could search Hahn and Kuersteiner or Hahn and Newey on the topic. As far
I know there is not code in Stata for this. 

If you have large T maybe you could compute sort of Conditional Logit
with lagged dependent variable. With the standard large n but small T,
you could use GMM method which requires to compute the appropiate moment
conditions. 

Rodrigo.
 

-----Mensaje original-----
De: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Margit
Averdijk
Enviado el: Lunes, 31 de Marzo de 2008 05:44 a.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: st: xtabond for logit models?

Dear Stata-listers,

I am using unbalanced panel data (large N, small t) to estimate fixed
effects models. I would like to include the lagged dependent variable in
the equation, and I am also using some other (exogeneous) predictors.
Some of my dependent variables are linear, others are binary.
I am aware that inclusion of the lagged dependent variable introduces
endogeneity problems. Therefore, I used xtabond for the linear models to
correct for this endogeneity. However, as far as I know there is no such
fix for logit models. I was wondering whether anyone might be aware of a
similar procedure for logit fixed effects models?

Many thanks in advance,

Kind regards,

Margit Averdijk







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