DPB: Dynamic Panel Binary Data Models in gretl

Abstract

This paper presents the gretl function package DPB for estimating dynamic binary models with panel data. The package contains routines for the estimation of the randomeffects dynamic probit model proposed by Heckman (1981b) and its generalisation by Hyslop (1999) and Keane and Sauer (2009) to accommodate AR(1) disturbances. The fixed-effects estimator by Bartolucci and Nigro (2010) is also implemented. DPB is available on the gretl function packages archive.

Keywords

• gretl function package
• random-effects dynamic probit model
• quadratic exponential model
• gauss-hermite quadrature
• simulated maximum likelihood
• conditional maximum likelihood