Home  >>  Archives  >>  Volume 6 Number 2  >>  st0106

The Stata Journal
Volume 6 Number 2: pp. 256-272



Subscribe to the Stata Journal
cover

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

Mark Stewart
Economics Department
University of Warwick
Coventry, UK
mark.stewart@warwick.ac.uk
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.
Terms of use     View this article (PDF)

View all articles by this author: Mark Stewart

View all articles with these keywords: redpace, simulation estimation, maximum simulated likelihood, Halton sequences, autocorrelated errors

Download citation: BibTeX  RIS

Download citation and abstract: BibTeX  RIS