xtdhazard and cfbinout: Using internal instruments for addressing unobserved heterogeneity in the discrete-time hazard model

• Tauchmann, Harald ^[2] ; Yurkevich, Elena ^[1]
  1. [1] University of Erlangen-Nuremberg

     University of Erlangen-Nuremberg

     Kreisfreie Stadt Erlangen, Alemania

     
  2. [2] Friedrich-Alexander-Universität Erlangen-Nürnberg and RWI—Leibniz-Institut für Wirtschaftsforschung and CINCH
• Localización: The Stata journal, ISSN 1536-867X, Vol. 26, Nº. 3, 2026, págs. 325-366
• Idioma: inglés
• DOI: 10.1177/1536867X261477503
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• Resumen

  • In this article, we introduce the new community-contributed commands xtdhazard and cfbinout. The former implements the own-differences instrumental-variables estimator proposed by Farbmacher and Tauchmann (2023, Econometric Reviews 42: 635–654) for dealing with time-invariant unobserved heterogeneity in the discrete-time hazard model. cfbinout is called by xtdhazard if a nonlinear discrete-time hazard model is specified. cfbinout can also be used as a standalone command that generalizes ivprobit, twostep by allowing discrete endogenous regressors and link functions that are different from the normal link, specifically logit and complementary log–log. In terms of the underlying econometric theory, cfbinout is guided by Wooldridge (2015, Journal of Human Resources 50: 420–445). We illustrate the use of xtdhazard in an empirical example.