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Maximum simulated likelihood estimation of random-effects dynamic probit models with autocorrelated errors

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Author Info
Mark Stewart () (Economics Department, University of Warwick)

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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. Copyright 2006 by StataCorp LP.

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Publisher Info
Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 6 (2006)
Issue (Month): 2 (June)
Pages: 256-272
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Handle: RePEc:tsj:stataj:v:6:y:2006:i:2:p:256-272

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Related research
Keywords: redpace; simulation estimation; maximum simulated likelihood; Halton sequences; autocorrelated errors;

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  1. Carlos Gradín & Olga Cantó, 2009. "Why are child poverty rates so persistently high in Spain?," Working Papers 123, ECINEQ, Society for the Study of Economic Inequality. [Downloadable!]
  2. Lorenzo Cappellari & Stephen P. Jenkins, 2006. "Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation," IZA Discussion Papers 2112, Institute for the Study of Labor (IZA). [Downloadable!]
    Other versions:
  3. repec:ese:iserwp: is not listed on IDEAS
  4. Tharavanij, Piyapas, 2007. "Capital Market, Severity of Business Cycle, and Probability of an Economic Downturn," MPRA Paper 4953, University Library of Munich, Germany, revised 07 Oct 2007. [Downloadable!]
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This page was last updated on 2009-11-22.

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