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

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. Copyright 2006 by StataCorp LP.

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Year of publication:	2006
Authors:	Stewart, Mark
Published in:	Stata Journal. - StataCorp LP. - Vol. 6.2006, 2, p. 256-272
Publisher:	StataCorp LP
Subject:	redpace \| simulation estimation \| maximum simulated likelihood \| Halton sequences \| autocorrelated errors

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004964315