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

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  • Mark Stewart

    (Economics Department, University of Warwick)

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.

Suggested Citation

  • 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.
    • Handle: RePEc:tsj:stataj:v:6:y:2006:i:2:p:256-272
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    References listed on IDEAS

    as
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