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st: dynamic panel logit

From   Stephen Knights <[email protected]>
To   [email protected]
Subject   st: dynamic panel logit
Date   Thu, 30 Jun 2005 11:15:10 +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. [Should I understand
that these can be done using xtlogit, by implementing an approach
suggested by Jeff Wooldridge?]

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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