A Computationally Practical Simulation Estimator for Panel Data

DOI10.2307/2951477zbMath0788.62100OpenAlexW4241845836MaRDI QIDQ4284150

Publication date: 24 March 1994

Full work available at URL: https://doi.org/10.21034/dp.16

importance sampling random effects factorization choice probabilities transition probabilities Monte Carlo tests limited dependent variable models ARMA errors multinomial probit equicorrelation complex panel data models method of simulated moments estimator quadrature- based ML estimators simple random effects models

Mathematics Subject Classification ID

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

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