This paper reviews the existing approaches to deal with panel data binary choice models with individual effects. Their relative strengths and weaknesses are discussed. Much theoretical and empirical research is needed in this area, and the paper points to several aspects that deserve further...

We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate t. We also derive one-sided and two-sided LM tests for multivariate normality versus multivariate t based on the first...