Maximum simulated likelihood estimation of random–effects dynamic probit models with autocorrelated errors
Mark Stewart
Economics Department
University of Warwick
Coventry, UK
[email protected]
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Abstract. 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.
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Mark Stewart
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redpace, simulation estimation, maximum simulated likelihood, Halton sequences, autocorrelated errors
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