Simulated multivariate random-effects probit models for unbalanced panels

Alexander Plum

Stata Journal, 2014, vol. 14, issue 2, 259-279

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. Copyright 2014 by StataCorp LP.

Keywords: mdraws; mvnp(); redpace; Halton draws; random effects; simulated multivariate probit (search for similar items in EconPapers)
Date: 2014
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Related works:
Working Paper: Simulated Multivariate Random Effects Probit Models for Unbalanced Panels (2013)
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