Work

Maximum Simulated Likelihood Estimation of Random-Effects Dynamic Probit Models with Autocorrelated Errors

Year: 2006

Type: article

Abstract: This paper investigates using maximum simulated likelihood (MSL) estimation for random-effects dynamic probit models with autocorrelated errors. It presents and illustrates a new Stata command, redpace, for this estimator. The paper also compares using pseudorandom numbers and Halton sequences of quasirandom numbers for MSL estimation of these models.

Source: The Stata Journal Promoting communications on statistics and Stata

DOI: 10.1177/1536867x0600600207

Author: Mark Stewart

Institution: University of Warwick

Language: English

Topic: Spatial and Panel Data Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W1540900718

FWCI: 11.23

Cites: 16

Cited by: 91

Related to: 10