A Computationally Practical Simulation Estimator for Panel Data

DOI10.2307/2951477zbMATH Open0788.62100OpenAlexW4241845836MaRDI QIDQ4284150FDOQ4284150

Publication date: 24 March 1994

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

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transition probabilities importance sampling random effects factorization choice probabilities limited dependent variable models Monte Carlo tests 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)

Cited In (56)

Maximum likelihood estimation of Gaussian copula models for geostatistical count data
On the fractional moments of a truncated centered multivariate normal distribution
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Bayesian analysis of a dynamic stochastic model of labor supply and saving.
Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity
Monte-Carlo evaluation of multivariate normal probabilities
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The dynamic invariant multinomial probit model: identification, pretesting and estimation
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The dynamic factor network model with an application to international trade
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Statistical inference in the multinomial multiperiod probit model
An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions
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ESTIMATION OF DYNAMIC DISCRETE CHOICE MODELS BY MAXIMUM LIKELIHOOD AND THE SIMULATED METHOD OF MOMENTS
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A Bayesian multivariate probit for ordinal data with semiparametric random-effects
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Gaussian copula marginal regression
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The panel probit model: adaptive integration on sparse grids
A Bayesian analysis of the multinomial probit model with fully identified parameters
Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators
Is Perfect Price Discrimination Really Efficient?: Welfare and Existence in General Equilibrium
Monte Carlo evaluation of multivariate Student's t probabilities

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