Hi all,

I am a business student who has had some introductory econometirc courses and has some basic knowledge of Stata.

In one of our lectures we briefly talked about the Hausman-Taylor estimator (i.e. the xthtaylor command) as the model to be used when one wants to get a parameter estimate for a time-inavriant variable (e.g. an individual's sex) which would not be possible with fixed effects.

Unfortunately, our lecturer could not tell me how to implement the Hausman-Taylor estimator when the dependent variable is binary (i.e. when one would use xtlogit, xtprobit or xtcloglog, unless one was interested in getting an estimate for a time-invariant variable like sex). Is there a specific command in Stata for that case or do I have to write it on my own?

Thank you very much in advance,
Nina