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Simulated multivariate random-effects probit models for unbalanced panels

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  • Alexander Plum

    (Otto von Guericke University Magdeburg)

Abstract

This article develops a method for implementing a simulated multivariate random-effects probit model for unbalanced panels (with gaps) and illustrates the model by using artificial data. Halton draws generated by mdraws are used to simulate multivariate normal probabilities with the mvnp() egen function. The estimator can be easily adjusted, for example, to allow for autocorrelated errors. The advantages of this simulated estimation, when compared with existing commands such as redpace, are high accuracy and improved stability. Copyright 2014 by StataCorp LP.

Suggested Citation

  • Alexander Plum, 2014. "Simulated multivariate random-effects probit models for unbalanced panels," Stata Journal, StataCorp LP, vol. 14(2), pages 259-279, June.
    • Handle: RePEc:tsj:stataj:v:14:y:2014:i:2:p:259-279
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    References listed on IDEAS

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    1. Lorenzo Cappellari & Stephen P. Jenkins, 2006. "Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation," Stata Journal, StataCorp LP, vol. 6(2), pages 156-189, June.
    2. Arulampalam, Wiji & Booth, Alison L & Taylor, Mark P, 2000. "Unemployment Persistence," Oxford Economic Papers, Oxford University Press, vol. 52(1), pages 24-50, January.
    3. Mark Stewart, 2006. "Maximum simulated likelihood estimation of random-effects dynamic probit models with autocorrelated errors," Stata Journal, StataCorp LP, vol. 6(2), pages 256-272, June.
    4. Mark B. Stewart, 2007. "The interrelated dynamics of unemployment and low-wage employment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 511-531.
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    Cited by:

    1. Federico Antonioli & Simone Severini & Mauro Vigani, 2023. "Visa for competitiveness: foreign workforce and Italian dairy farms’ performance," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 50(1), pages 115-150.
    2. Ricardo Goncalves & Peter J. Simmons & Yuanyuan Xie, 2017. "Rebel with(out) a cause? Inter-generational smoking dependence in Chinese households," Discussion Papers 17/20, Department of Economics, University of York.
    3. Alexander Plum, 2019. "The British low-wage sector and the employment prospects of the unemployed," Applied Economics, Taylor & Francis Journals, vol. 51(13), pages 1411-1432, March.

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