Logit/Probit models and Panel Data

[Chris_Ger]

Hello everybody,

I am using EViews 7 and my workfile comprises binary panel data. I know, that Logit/Probit models also work on Panel data, but I have some specific questions and would like to ask for some support:

1.) How can I account for fixed or random effects in the panel data when estimating a Logit/Probit model?
2.) When there are lagged dependent variables present on the right hand side, biased or inconsistent estimates of the Logit/Probit model can be present. Thus, does Eviews account for lagged dependent variables? If not, did anyone ever program a logl-object for maximum likelihood estimation (e.g. based on log-likelihood function described in Heckman 1981 ("Statistical models for discrete panel data" in "Structural Analysis of discrete data"))?
3.) Is there a function to estimate heteroskedastic-corrected probits (e.g. "Hetprob" in STATA)?

Thank you very much and best regards,

Chris

[EViews Gareth]

1) The only way to do it is by creating dummy variables for the fixed effects. Random effects cannot be done.

2) I don't believe so.

[Chris_Ger]

Thank you very much.

Do you know whether there is a function to estimate heteroskedastic-corrected probits (e.g. "Hetprob" in STATA)?

[EViews Glenn]

No, there is not.

[Phil O'Sophie]

I'm trying to run a Heckman sample selection model using panel-data? Does Eviews have a function for this?

Thank you for your helo.

[michelleli]

Hi,
I have created firm dummies for the fixed effects. However, when I include these dummies (I have 152 firm dummie variables) in the estimation, Eviews show that "Parameter estimates for limit points are non-ascending 0". How can correct for this?

Thanks!

1) The only way to do it is by creating dummy variables for the fixed effects. Random effects cannot be done.

2) I don't believe so.