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
收藏
页码：256 / 272
页数：17
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