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A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models

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Cited by:

  1. Rendtel, Ulrich & Kaltenborn, Ulrich, 2004. "The stability of simulation based estimation of the multiperiod multinominal probit model with individual specific covariates," Discussion Papers 2004/5, Free University Berlin, School of Business & Economics.
  2. Heiss, Florian & Winschel, Viktor, 2008. "Likelihood approximation by numerical integration on sparse grids," Journal of Econometrics, Elsevier, vol. 144(1), pages 62-80, May.
  3. Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986. "Classical estimation methods for LDV models using simulation," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441, Elsevier.
  4. Carlos Arias & Thomas Cox, 2001. "Estimation of a US dairy sector model by maximum simulated likelihood," Applied Economics, Taylor & Francis Journals, vol. 33(9), pages 1201-1211.
  5. Munizaga, Marcela A. & Heydecker, Benjamin G. & Ortúzar, Juan de Dios, 2000. "Representation of heteroskedasticity in discrete choice models," Transportation Research Part B: Methodological, Elsevier, vol. 34(3), pages 219-240, April.
  6. van Dijk, Bram & Paap, Richard, 2008. "Explaining individual response using aggregated data," Journal of Econometrics, Elsevier, vol. 146(1), pages 1-9, September.
  7. Vincenzo Atella & Carlos Arias & Federico Perali & Raffaella Castagnini, 2003. "Estimation of the Sharing Rule Between Adults and Children and Related Equivalence Scales Within a Collective Consumption Framework," CEIS Research Paper 28, Tor Vergata University, CEIS.
  8. Shimshack, Jay P. & Ward, Michael B., 2005. "Regulator reputation, enforcement, and environmental compliance," Journal of Environmental Economics and Management, Elsevier, vol. 50(3), pages 519-540, November.
  9. Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June.
  10. Callan, T. & van Soest, A.H.O., 1994. "Family labour supply and taxes in Ireland," Discussion Paper 1994-26, Tilburg University, Center for Economic Research.
  11. Arias, Carlos & Perali, Carlo Federico, 1999. "Exploring Alternatives For Estimating Systems Of Equations With Multiple Censored Variables: Farm Output Supply And Input Demand," 1999 Annual meeting, August 8-11, Nashville, TN 21591, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  12. Bolduc, Denis & Kaci, Mustapha, 1993. "Estimation des modèles probit polytomiques : un survol des techniques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(3), pages 161-191, septembre.
  13. Kenneth Train, "undated". "Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning," Working Papers _009, University of California at Berkeley, Econometrics Laboratory Software Archive.
  14. Joan L. Walker & Moshe Ben-Akiva & Denis Bolduc, 2007. "Identification of parameters in normal error component logit-mixture (NECLM) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1095-1125.
  15. Brownstone, David & Train, Kenneth, 1998. "Forecasting new product penetration with flexible substitution patterns," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 109-129, November.
  16. Kooreman, Peter & Soetevent, Adriaan, 2002. "A discrete choice model with social interactions: an analysis of high school teen behavior," CCSO Working Papers 200214, University of Groningen, CCSO Centre for Economic Research.
  17. Daniel Ackerberg, 2009. "A new use of importance sampling to reduce computational burden in simulation estimation," Quantitative Marketing and Economics (QME), Springer, vol. 7(4), pages 343-376, December.
  18. Horowitz, Joel & Keane, Michael & Bolduc, Denis & Divakar, Suresh & Geweke, John & Gonul, Fosun & Hajivassiliou, Vassilis & Koppelman, Frank & Matzkin, Rosa & Rossi, Peter & Ruud, Paul, 1994. "Advances in Random Utility Models," MPRA Paper 53026, University Library of Munich, Germany.
  19. Carlos Arias & THOMAS L. COX, 1999. "Maximum Simulated Likelihood: A Brief Introduction for Practitioners," Wisconsin-Madison Agricultural and Applied Economics Staff Papers 421, Wisconsin-Madison Agricultural and Applied Economics Department.
  20. Vijverberg, Wim P. M., 2000. "Rectangular and wedge-shaped multivariate normal probabilities," Economics Letters, Elsevier, vol. 68(1), pages 13-20, July.
  21. Hajivassiliou, V A, 1994. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 109-131, April-Jun.
  22. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August.
  23. Michael P. Keane, 2013. "Panel data discrete choice models of consumer demand," Economics Papers 2013-W08, Economics Group, Nuffield College, University of Oxford.
  24. Peter Kooreman & Adriaan R. Soetevent, 2007. "A discrete-choice model with social interactions: with an application to high school teen behavior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 599-624.
  25. Steven Stern & John Pepper & David Dean & Robert Schmidt, 2011. "The Effects of Vocational Rehabilitation for People with Mental Illlness," Virginia Economics Online Papers 382, University of Virginia, Department of Economics.
  26. Jay P. Shimshack & Michael B. Ward, 2004. "Enforcement and Environmental Compliance: A Statistical Analysis of the Pulp and Paper Industry," Discussion Papers Series, Department of Economics, Tufts University 0414, Department of Economics, Tufts University.
  27. Sebastian Galiani & Juan Pantano, 2021. "Structural Models: Inception and Frontier," NBER Working Papers 28698, National Bureau of Economic Research, Inc.
  28. Eric Eisenstat & Rodney W. Strachan, 2016. "Modelling Inflation Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(5), pages 805-820, August.
  29. Pradhan, M.P., 1993. "Sector participation in labour supply models : Preferences or rationing ?," Discussion Paper 1993-66, Tilburg University, Center for Economic Research.
  30. Vassilis A. Hajivassiliou, 1991. "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers 1007, Cowles Foundation for Research in Economics, Yale University.
  31. Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
  32. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134.
  33. Vassilis Argyrou Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Working Papers _025, Yale University.
  34. Arias, Carlos & Cox, Thomas L., 1999. "Maximum Simulated Likelihood: A Brief Introduction For Practitioners," Staff Papers 12662, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
  35. Denis Bolduc, "undated". "A Fast Maximum Simulated Likelihood Estimation Technique for NMP Models," Computing in Economics and Finance 1997 155, Society for Computational Economics.
  36. repec:dgr:rugccs:200401 is not listed on IDEAS
  37. Natarajan, Ranjini & McCulloch, Charles E. & Kiefer, Nicholas M., 2000. "A Monte Carlo EM method for estimating multinomial probit models," Computational Statistics & Data Analysis, Elsevier, vol. 34(1), pages 33-50, July.
  38. Lechner, Michael, 1993. "The dynamics of self-employment in East Germany: an empirical analysis using panel data and allowing for state dependence and endogenous attrition," ZEW Discussion Papers 93-24, ZEW - Leibniz Centre for European Economic Research.
  39. Arias, Carlos & Cox, Thomas L., 1998. "Estimation Of A U.S. Dairy Sector Model By Maximum Simulated Likelihood," Staff Papers 12617, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
  40. Bas Donkers & Peter Verhoef & Martijn Jong, 2007. "Modeling CLV: A test of competing models in the insurance industry," Quantitative Marketing and Economics (QME), Springer, vol. 5(2), pages 163-190, June.
  41. Sándor, Z. & András, P., 2003. "Alternate Samplingmethods for Estimating Multivariate Normal Probabilities," Econometric Institute Research Papers EI 2003-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  42. Lee, Donghoon & Song, Kyungchul, 2015. "Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies," Journal of Econometrics, Elsevier, vol. 187(1), pages 131-153.
  43. Jie Jiang & Xinsheng Liu & Keming Yu, 2013. "Maximum likelihood estimation of multinomial probit factor analysis models for multivariate t-distribution," Computational Statistics, Springer, vol. 28(4), pages 1485-1500, August.
  44. Victoria Prowse, 2004. "Estimating Time Demand Elasticities Under Rationing," Economics Series Working Papers 209, University of Oxford, Department of Economics.
  45. David Dean & John Pepper & Robert Schmidt & Steven Stern, 2015. "The Effects Of Vocational Rehabilitation For People With Cognitive Impairments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(2), pages 399-426, May.
  46. Pradhan, M.P., 1993. "Sector participation in labour supply models : Preferences or rationing ?," Other publications TiSEM 23a93cbc-c571-492a-a78a-c, Tilburg University, School of Economics and Management.
  47. Kamhon Kan & Chihwa Kao, 2005. "Simulation-Based Two-Step Estimation with Endogenous Regressors," Center for Policy Research Working Papers 76, Center for Policy Research, Maxwell School, Syracuse University.
  48. Joan L. Walker & Moshe Ben-Akiva, 2011. "Advances in Discrete Choice: Mixture Models," Chapters, in: André de Palma & Robin Lindsey & Emile Quinet & Roger Vickerman (ed.), A Handbook of Transport Economics, chapter 8, Edward Elgar Publishing.
  49. Vassilis A. Hajivassiliou & Daniel McFadden & Paul A. Ruud, 1994. "Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results," Cowles Foundation Discussion Papers 1021R, Cowles Foundation for Research in Economics, Yale University.
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