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st: fractional probit


From   Arina Viseth <arina@UDel.Edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: fractional probit
Date   Wed, 25 Aug 2010 21:44:19 -0400 (EDT)

Dear Statalist,

I am currently trying to apply the fractional probit model,  as in Papke and Wooldridge (2008). 
http://pages.stern.nyu.edu/~wgreene/Econometrics/Papke-Wooldridge-FractionalResponse.pdf

My understanding is that, in order to control for unobserved heterogeneity, time average of the independent variables are added to the regression, such as for example:

Yit = X1it + X2it + X3it + Cit + timeaverageof X1 + timeaverageof X2 

with
Y dependent variable
X1 and X2 endogenous independent variables
X3 exogenous independent variable
C vector of dummy variables

I am looking for the STATA command for the fractional probit, is it the following: glm y x1 x2 c ex1 ex2, family(binomial) link(probit) robust? (with ex1 time average of X1, and ex2, time average of X2)

Your comments will be very much appreciated. In advance, thank you very much for your kind help.

Arina
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