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...

Limited dependent variable (LDV) panel data models pose substantial challenges in maximum likelihood estimation. The likelihood function in such models typically contains multivariate integrals that are often analytically intractable. To overcome such problem in a panel probit model with...

In this paper we introduce a new flexible mixed model for multinomial discrete choice where the key individual- and alternative-specific parameters of interest are allowed to follow an assumptionfree nonparametric density specification while other alternative-specific coefficients are assumed to...