The panel probit model: adaptive integration on sparse grids

DOI10.1108/S0731-9053(2010)0000026006MaRDI QIDQ3295688zbMATH OpenOpenAlexWikidataFDO

Authors Florian Heiss

Publication date 10 July 2020

Published in Maximum Simulated Likelihood Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/s0731-9053(2010)0000026006

zbMATH Keywords

adaptive integration on sparse gridsGeweke-Hajivassiliou-Keane (GHK) simulator

Mathematics Subject Classification ID

Causal inference from observational studies (62D20) Numerical integration (65D30)

Recommendations

• Likelihood approximation by numerical integration on sparse grids
• Efficient estimation of probit models with correlated errors
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• A Computationally Practical Simulation Estimator for Panel Data
• Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects

Cited in

(3)

• Likelihood approximation by numerical integration on sparse grids
• Efficient estimation of probit models with correlated errors
• Discrete Choice Methods with Simulation

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