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st: dynamic estimation - logit

From   Stephen Knights <[email protected]>
To   [email protected]
Subject   st: dynamic estimation - logit
Date   Fri, 24 Jun 2005 16:01:16 +0100

I am currently estimating several dynamic logits on binary dependent
variables using panel data, and was wondering if they can be done via Stata.

1. Heckman (1981) random effects logit models, estimated by Maximum
Likelihood, which control for initial conditions.

2. Honore & Kyriazidou (2000) fixed effects logit models, estimated by
maximizing a Kernel function.
[references below]

Is anyone aware of such applications or user-created code?

Best wishes,
Stephen Knights

Heckman, J. (1981). The Incidental Parameters Problem and the Problem
of Initial Condi-tions in Estimating a Duscrete Time-Discrete Data
Stochastic Process,. in ( C. Manski and D. McFadden, eds.), Structural
Analysis of Discrete Data with Econometric Applications, MIT Press.

Honore, B. and Kyriazidou, E. (2000). .Panel Data Discrete Choice
Models with Lagged Dependent Variables,.Econometrica, 68, pp.839-874.

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