Asked by Margaret
on 7 Jun 2014

I am trying to set up the likelihood function following Wooldridge (2005)'s dynamic probit estimator using Matlab (this is my first time using Matlab, and I am doing this for practice), but I am not sure how to model the "integrating out a_i" part of the likelihood function, where

c_i (the random effect) = alpha0+alpha1y_i0+z_ialpha2+a_i, a_i~normal(0, sigma_a^2).

Could someone give me a hint on how to do this?

Thank you.

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Answer by Image Analyst
on 7 Jun 2014

No. How could we? Pretend you're looking at it from our point of view. Would *you* be able to answer that if you were us?

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## 7 Comments

## Star Strider (view profile)

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/132772#comment_218505

If you could upload a PDF of the paper, it would provide us a context. (Use the ‘paperclip’ or ‘staple’ icon to upload it.)

## Image Analyst (view profile)

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/132772#comment_218507

Star is a lot more generous with his time than I am or most people are. http://matlab.wikia.com/wiki/FAQ#Can_you_program_up_the_algorithm_in_this_article_for_me_and_explain_it_to_me.3F

## Star Strider (view profile)

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/132772#comment_218510

I’m not entirely altruistic. I learn interesting stuff.

Besides, Margaret’s doesn’t sound like a ‘do it for me’ Question.

## Margaret (view profile)

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/132772#comment_218565

@ starstrider @imageanalyst Thank you for your comments. Someone told me that these integrals are approximated using Gauss-Hermite quadrature.

## Star Strider (view profile)

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/132772#comment_218576

I still don’t know

integrals. Please post the PDF of the paper you’re referring to. (My telepathic abilities aren’t working at all well this morning.)what## Image Analyst (view profile)

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/132772#comment_218577

Star, once you reach 25,000 reputation points they let you beta test the Mind Reading Toolbox. So far only Walter has it. Something to strive for though.

## Star Strider (view profile)

Direct link to this comment:http://www.mathworks.com/matlabcentral/answers/132772#comment_218586

Cool! Something to strive for, definitely! Even better than being able to delete spam.WOW!