Florian Heiss, "Sequential Numerical Integration in Nonlinear State Space Models for Microeconometric Panel Data", Journal of Applied Econometrics, Vol. 23, No. 3, 2008, pp. 373-389. The data used in section 3 of the paper are from the Health and Retirement Study (HRS). The HRS is sponsored by the National Institute of Aging (grant number NIA U01AG009740) and is conducted by the University of Michigan. The use of the data is restricted to registered users so the data cannot be posted here. But registration and download is free and can be done at the HRS website of the University of Michigan at http://hrsonline.isr.umich.edu/ The paper uses the RAND HRS Data file (Version E) which is a cleaned and easy-to-use version of the HRS with derived variables covering a broad range of measures and named consistently across waves. The file was developed by the RAND Center for the Study of Aging with funding from the National Institute on Aging (NIA) and Social Security Administration (SSA). The Stata do-file "fh-data.do" extracts the relevant data from the original data file and creates the data set used for the analyses in section 3 of the paper. An implementation of the algorithms discussed in the paper can be downloaded and installed from within Stata (Version 9) with the command net install arldv, from(http://www.florian-heiss.de/stata) This package estimates ordered logit models with AR(1) error terms as implemented in the paper as well as corresponding ordered probit and binary logit and probit models. A documentation of these commands can be found at http://www.florian-heiss.de/stata/arldv.pdf Note that both the code and the documentation are preliminary. Questions, comments, and suggestions are welcome. Florian Heiss florian.heiss [AT] lrz.uni-muenchen.de