Composite Likelihood Estimation of an Autoregressive Panel Ordered Probit Model with Random Effects
含随机效应的自回归面板有序 Probit 模型的复合似然估计
Modeling and estimating autocorrelated discrete data can be challenging. In this article, we use an autoregressive panel ordered probit model where the serial correlation in the discrete variable is driven by the autocorrelation in the latent variable. In such a nonlinear model, the presence of a lagged latent variable results in an intractable likelihood containing high-dimensional integrals. To tackle this problem, we use composite likelihoods that involve a much lower…