Computational issues in the sequential probit model: a Monte Carlo study

DOI10.1007/S10614-005-0667-7MaRDI QIDQ1020516zbMATH OpenOpenAlexFDO

Authors Patrick Waelbroeck

Publication date 29 May 2009

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10614-005-0667-7

zbMATH Keywords

simulated annealingsimulated maximum likelihoodMetropolis-Gibbssequential probit

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Sequential estimation (62L12)

Recommendations

• Efficient estimation of probit models with correlated errors
• scientific article; zbMATH DE number 1736460
• On the tradeoff between computational simplicity and asymptotic properties in multivariate probit
• A note on sequential ML estimates and their asymptotic covariances
• Statistical inference in the multinomial multiperiod probit model

Cites work

• scientific article; zbMATH DE number 1522711 (Why is no real title available?)
• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• scientific article; zbMATH DE number 3390199 (Why is no real title available?)
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Bayesian Analysis of Binary and Polychotomous Response Data
• Estimation of seemingly unrelated regressions with unequal numbers of observations
• Global optimization of statistical functions with simulated annealing
• Sequential Ordinal Modeling with Applications to Survival Data
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results

Cited in

(4)

• scientific article; zbMATH DE number 1736460 (Why is no real title available?)
• Sequential Monte Carlo EM for multivariate probit models
• Efficient estimation of probit models with correlated errors
• A note on sequential ML estimates and their asymptotic covariances

This page was built for publication: Computational issues in the sequential probit model: a Monte Carlo study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1020516)