θ12wnt1, εnt2 = θ21πn + νnt2, νnt2 = θ22νn(t−1)2 + wnt2, πn ∼ N(0, 1), E(wnt1) = 0, var(wnt1) = 1, E(νnt2) = µν,2, var(νnt2) = σ2 ν,2, cov(νnt2, νnt′2) = γt,t′ , |θ22| < 1, νn02 ∼ N(µν,2, σ 2 ν,2), wnt2 ∼ N(0 [...] indicators are Cov(yit2) = Diag(µit2)− µit2µ T it2 t = 1, . . . , T on the diagonal, and, as off-diagonal elements, Cov(yit2k, yit′2k′) = µitt′2,kk′ − µit2kµit′2k′ , where µitt′2,kk′ and µit2,k are the corresponding [...] yit20yit′20, and µitt′2 = E(vitt′2|xit2,xit′2), with elements Pr(yit2l = 1, yit′2l′ = 1|xit2,xit′2), l = 0, . . . , K, not including the elements Pr(yit20 = 1, yit′20 = 1|xit2,xit′2). Then the derivative
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