Simulated multivariate random-effects probit models for unbalanced panels
Abstract. This article develops a method for implementing a simulated multivariate
random-effects probit model for unbalanced panels (with gaps) and illustrates
the model by using artificial data. Halton draws generated by mdraws are used to
simulate multivariate normal probabilities with the mvnp() egen function. The estimator
can be easily adjusted, for example, to allow for autocorrelated errors. The
advantages of this simulated estimation, when compared with existing commands
such as redpace, are high accuracy and improved stability.
Otto von Guericke University Magdeburg
View all articles by this author:
View all articles with these keywords:
mdraws, mvnp(), redpace, Halton draws, random effects, simulated multivariate probit
Download citation: BibTeX RIS
Download citation and abstract: BibTeX RIS
if you have questions about the Stata Journal.