st: Setting some coefficients to zero in a panel probit regression

[Nick Baker <nb419@cam.ac.uk>]

Hi all, 

I am attempting to use Stata to estimate a longitudinal probit model of 
hedge fund liquidation, following the method of Baquero, ter Horst and 
Verbeek (2005)http://papers.ssrn.com/sol3/papers.cfm?abstract_id=873521. 
The dependent variable is a binary variable that is 0 if a fund liquidates 
in a certain time period, 1 if it does not. Regressors include lagged 
monthly returns, amongst other things.

I am estimating the model with 12 lagged monthly returns. The coefficients 
on lagged returns are assumed to be equal across funds, with the exception 
of those cases where a fund has fewer than 12 historical returns.


In such a case the authors set the coefficients on lagged returns equal to 
zero if the corresponding return is unobserved.

I am entirely stumped as to how to implement such a procedure in Stata and 
was wondering if anyone else had encountered a similar problem.

Many thanks for your help, 

Nick Baker


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