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

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

Mark Stewart
Economics Department
University of Warwick
Coventry, 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.
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View all articles with these keywords: redpace, simulation estimation, maximum simulated likelihood, Halton sequences, autocorrelated errors

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