Burda, Martin; Liesenfeld, Roman; Richard, Jean-Francois - University of Toronto, Department of Economics - 2008
In this paper, we perform Bayesian analysis of a panel probit model with unobserved individual heterogeneity and serially correlated errors. We augment the data with latent variables and sample the unobserved heterogeneity component as one Gibbs block per individual using a flexible piecewise...