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

被引：42

作者：

Stewart, Mark ^{[1
]}

机构：

[1] Univ Warwick, Dept Econ, Coventry CV4 7AL, W Midlands, England

来源：

STATA JOURNAL | 2006年 / 6卷 / 02期

关键词：

st0106; redpace; simulation estimation; maximum simulated likelihood; Halton sequences; autocorrelated errors;

D O I：

10.1177/1536867X0600600207

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

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.

引用

页码：256 / 272

页数：17

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