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Simulated Multivariate Random Effects Probit Models for Unbalanced Panels

Author

Listed:
  • Alexander Plum

    (Otto-von-Guericke University Magdeburg)

Abstract

This paper develops an implementation method of a simulated multivariate random-effects probit model for unbalanced panels, illustrating it by using artificial data. By mdraws, generated Halton draws are used to simulate multivariate normal probabilities with the command mvnp(). The estimator can be easily adjusted (for example, to allow for autocorrelated errors). Advantages of this simulated estimation are high accuracy and lower computation time compared with existing commands such as redpace.

Suggested Citation

  • Alexander Plum, 2013. "Simulated Multivariate Random Effects Probit Models for Unbalanced Panels," German Stata Users' Group Meetings 2013 08, Stata Users Group.
    • Handle: RePEc:boc:dsug13:08
    as

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    File URL: http://fmwww.bc.edu/RePEc/dsug2013/plum_DESUG2013.pdf
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    References listed on IDEAS

    as
    1. Lorenzo Cappellari & Stephen P. Jenkins, 2006. "Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation," Stata Journal, StataCorp LLC, vol. 6(2), pages 156-189, June.
    2. 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.
    3. Arulampalam, Wiji & Booth, Alison L & Taylor, Mark P, 2000. "Unemployment Persistence," Oxford Economic Papers, Oxford University Press, vol. 52(1), pages 24-50, January.
    4. Mark Stewart, 2006. "Maximum simulated likelihood estimation of random-effects dynamic probit models with autocorrelated errors," Stata Journal, StataCorp LLC, vol. 6(2), pages 256-272, June.
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    Cited by:

    1. 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.
    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. 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.

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