MVTOBIT: Stata module to calculate multivariate tobit models by simulated maximum likelihood (SML)

Mikkel Christoffer Barslund

Statistical Software Components from Boston College Department of Economics

Abstract: mvtobit estimates M-equation tobit models (including bivariate tobit models). To evaluate the multidimensional integrals, mvtobit relies on Cappellari & Jenkins' mdraws and egen mvnp commands to implement the Geweke-Hajivassiliou-Keane (GHK) simulator. The estimator is implemented with the lf method and supports all the usual maximum likelihood features. Computation time is an issue with many equations. Users of Stata 9 and higher should have a look at the user command cmp.

Language: Stata
Requires: Stata version 8.2
Keywords: multivariate tobit; simulated maximum likelihood; bivariate tobit; GHK simulator (search for similar items in EconPapers)
Date: Written
Note: This module may be installed from within Stata by typing "ssc install mvtobit". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mvtobit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvtobit_ll.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvtobit_2ll.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvtobit.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s456875

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