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A numerically stable quadrature procedure for the one-factor random component discrete choice model.

The Gaussian quadrature formula had been popularized by Butler and Moffitt (1982 Econometrika 50, 761–764) for the estimation of the error component probit panel model. Borjas and Sueyoshi (1994, Journal of Econometrics 64, 164–182) pointed out some numerical and statistical difficulties of applyin...

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Published in:Journal of Econometrics Vol. 95; no. 1; pp. 117 - 130
Main Author: Lee, Lung-fei
Format: Article
Published: Elsevier Science March 2000
Subjects:
Gaussian processes
Random variables
Monte Carlo method
Approximation theory
Error analysis in mathematics
Online Access:View this record in EBSCOhost