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Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects

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  • Rabe-Hesketh, Sophia
  • Skrondal, Anders
  • Pickles, Andrew

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  • Rabe-Hesketh, Sophia & Skrondal, Anders & Pickles, Andrew, 2005. "Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects," Journal of Econometrics, Elsevier, vol. 128(2), pages 301-323, October.
  • Handle: RePEc:eee:econom:v:128:y:2005:i:2:p:301-323
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    References listed on IDEAS

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    1. A. R. Cardoso, 2000. "Wage differentials across firms: an application of multilevel modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(4), pages 343-354.
    2. Germán Rodríguez & Noreen Goldman, 2001. "Improved estimation procedures for multilevel models with binary response: a case-study," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 164(2), pages 339-355.
    3. Borjas, George J. & Sueyoshi, Glenn T., 1994. "A two-stage estimator for probit models with structural group effects," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 165-182.
    4. Rosett, Richard N & Nelson, Forrest D, 1975. "Estimation of the Two-Limit Probit Regression Model," Econometrica, Econometric Society, vol. 43(1), pages 141-146, January.
    5. Hausman, Jerry A. & Ruud, Paul A., 1987. "Specifying and testing econometric models for rank-ordered data," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 83-104.
    6. Anders Skrondal & Sophia Rabe-Hesketh, 2003. "Multilevel logistic regression for polytomous data and rankings," Psychometrika, Springer;The Psychometric Society, vol. 68(2), pages 267-287, June.
    7. Lee, Lung-fei, 2000. "A numerically stable quadrature procedure for the one-factor random-component discrete choice model," Journal of Econometrics, Elsevier, vol. 95(1), pages 117-129, March.
    8. R. Bock & Murray Aitkin, 1981. "Marginal maximum likelihood estimation of item parameters: Application of an EM algorithm," Psychometrika, Springer;The Psychometric Society, vol. 46(4), pages 443-459, December.
    9. Keane, Michael P, 1992. "A Note on Identification in the Multinomial Probit Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 193-200, April.
    10. Lillard, Lee A., 1993. "Simultaneous equations for hazards : Marriage duration and fertility timing," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 189-217, March.
    11. R. Darrell Bock & Marcus Lieberman, 1970. "Fitting a response model forn dichotomously scored items," Psychometrika, Springer;The Psychometric Society, vol. 35(2), pages 179-197, June.
    12. Davis, Peter, 2002. "Estimating multi-way error components models with unbalanced data structures," Journal of Econometrics, Elsevier, vol. 106(1), pages 67-95, January.
    13. H. Baltagi, Badi & Heun Song, Seuck & Cheol Jung, Byoung, 2001. "The unbalanced nested error component regression model," Journal of Econometrics, Elsevier, vol. 101(2), pages 357-381, April.
    14. S. Rabe-Hesketh & A. Skrondal, 2001. "Parameterization of Multivariate Random Effects Models for Categorical Data," Biometrics, The International Biometric Society, vol. 57(4), pages 1256-1263, December.
    15. Naylor, J. C. & Smith, A. F. M., 1988. "Econometric illustrations of novel numerical integration strategies for Bayesian inference," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 103-125.
    16. Richard Blundell & Frank Windmeijer, 1997. "Cluster effects and simultaneity in multilevel models," Health Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 439-443.
    17. Beggs, S. & Cardell, S. & Hausman, J., 1981. "Assessing the potential demand for electric cars," Journal of Econometrics, Elsevier, vol. 17(1), pages 1-19, September.
    18. repec:ags:stataj:115947 is not listed on IDEAS
    19. Sophia Rabe-Hesketh & Anders Skrondal & Andrew Pickles, 2002. "Reliable estimation of generalized linear mixed models using adaptive quadrature," Stata Journal, StataCorp LP, vol. 2(1), pages 1-21, February.
    20. Sophia Rabe-Hesketh & Andrew Pickles & Anders Skrondal, 2001. "Extensions to gllamm6," United Kingdom Stata Users' Group Meetings 2001 16, Stata Users Group.
    21. Antweiler, Werner, 2001. "Nested random effects estimation in unbalanced panel data," Journal of Econometrics, Elsevier, vol. 101(2), pages 295-313, April.
    22. Kathleen Carey, 2000. "A multilevel modelling approach to analysis of patient costs under managed care," Health Economics, John Wiley & Sons, Ltd., vol. 9(5), pages 435-446.
    23. Butler, J S & Moffitt, Robert, 1982. "A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model," Econometrica, Econometric Society, vol. 50(3), pages 761-764, May.
    24. Sophia Rabe-Hesketh & Anders Skrondal & Andrew Pickles, 2004. "Generalized multilevel structural equation modeling," Psychometrika, Springer;The Psychometric Society, vol. 69(2), pages 167-190, June.
    25. Kurt J. Beron & James C. Murdoch & Mark A. Thayer, 1999. "Hierarchical Linear Models With Application to Air Pollution in the South Coast Air Basin," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(5), pages 1123-1127.
    26. Nigel Rice & Andrew Jones, 1997. "Multilevel models and health economics," Health Economics, John Wiley & Sons, Ltd., vol. 6(6), pages 561-575.
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