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The Stata Journal
Volume 18 Number 4: pp. 844-862

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xtpdyn: A community-contributed command for fitting dynamic random-effects probit models with unobserved heterogeneity

Raffaele Grotti
Department of Political and Social Sciences
European University Institute
San Domenico di Fiesole, Italy
Giorgio Cutuli
Department of Sociology and Social Research
University of Trento
Trento, Italy
Abstract.  Dynamic random-effects probit models are increasingly applied in many disciplines to study dynamics of persistence in dichotomous outcomes. Despite the increasing popularity of these models, an estimation command for them does not exist yet. In this article, we present the xtpdyn command, which implements the model as proposed by Rabe-Hesketh and Skrondal (2013, Economics Letters 120: 346–349). We also present probat, a postestimation command that provides estimates of transition rates and a set of associated statistics.

View all articles by these authors: Raffaele Grotti, Giorgio Cutuli

View all articles with these keywords: xtpdyn, probat, dynamic panel models, dynamic random-effects probit, state dependence, unobserved heterogeneity

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