Xtpdyn: A Community-Contributed Command for Fitting Dynamic Random-Effects Probit Models with Unobserved Heterogeneity

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.