Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models

DOI10.1016/0304-4076(93)90049-BzbMath0798.62105OpenAlexW1973144438MaRDI QIDQ1260677

Axel Börsch-Supan, Vassilis Argyrou Hajivassiliou

Publication date: 25 August 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90049-b

zbMATH Keywords

maximum likelihood estimationboundedunbiasedacceptance-rejection methodslimited dependent variable modelscontinuous and differentiable functionmultidimensional probability integralsnew simulation methodsimulated choice probabilities

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• Economic analysis of discrete choice. With applications on the demand for housing in the U.S. and West-Germany
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• A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• The Greatest of a Finite Set of Random Variables

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