Efficient estimation of probit models with correlated errors

DOI10.1016/j.jeconom.2009.11.006zbMath1431.62649OpenAlexW2054370200MaRDI QIDQ530959

Roman Liesenfeld, Jean-Francois Richard

Publication date: 1 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.11.006

zbMATH Keywords

importance samplingpanel dataMonte Carlo integrationsimulated maximum likelihooddiscrete choice

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (7)

Efficient importance sampling in mixture frameworks ⋮ A flexible and automated likelihood based framework for inference in stochastic volatility models ⋮ The dynamic factor network model with an application to international trade ⋮ Bayesian estimation and model comparison for linear dynamic panel models with missing values ⋮ Particle efficient importance sampling ⋮ Generalized dynamic panel data models with random effects for cross-section and time ⋮ Estimation of finite sequential games

Cites Work

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• Efficient high-dimensional importance sampling
• Monte-Carlo evaluation of multivariate normal probabilities
• Statistical inference in the multinomial multiperiod probit model
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences
• A Computationally Practical Simulation Estimator for Panel Data

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