bireprob: An estimator for bivariate random-effects probit models

Alexander Plum

Stata Journal, 2016, vol. 16, issue 1, 96-111

Abstract: I present the bireprob command, which fits a bivariate random-effects probit model. bireprob enables a researcher to estimate two (seemingly unrelated) nonlinear processes and to control for interrelations between their unobservables. The estimator uses quasirandom numbers (Halton draws) and maximum simulated likelihood to estimate the correlation between the error terms of both processes. The application of bireprob is illustrated in two examples: the first one uses artificial data, and the second one uses real data. Finally, in a simulation, the per- formance of the estimator is tested and compared with the official Stata command xtprobit. Copyright 2016 by StataCorp LP.

Keywords: bireprob; bivariate random-effects probit; maximum simulated likelihood; Halton draws (search for similar items in EconPapers)
Date: 2016
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