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

Mark Stewart ()

Stata Journal, 2006, vol. 6, issue 2, pages 256-272

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. Copyright 2006 by StataCorp LP.

Keywords: redpace; simulation estimation; maximum simulated likelihood; Halton sequences; autocorrelated errors (search for similar items in EconPapers)
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:tsj:stataj:v:6:y:2006:i:2:p:256-272

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