MVPROBIT: Stata module to calculate multivariate probit regression using simulated maximum likelihood

Lorenzo Cappellari and Stephen Jenkins ()

Statistical Software Components from Boston College Department of Economics

Abstract: mvprobit estimates M-equation probit models, by the method of simulated maximum likelihood (SML). (Cf. probit and biprobit which estimate 1-equation and 2-equation probit models by maximum likelihood.) The variance-covariance matrix of the cross-equation error terms has values of 1 on the leading diagonal, and the off-diagonal elements are correlations to be estimated. mvprobit uses the Geweke-Hajivassiliou-Keane (GHK) simulator to evaluate the M-dimensional Normal integrals in the likelihood function. For each observation, a likelihood contribution is calculated for each replication, and the simulated likelihood contribution is the average of the values derived from all the replications. The simulated likelihood function for the sample as a whole is then maximized using standard methods (ml in this case).

Language: Stata
Requires: Stata version 7.0
Keywords: multivariate probit; simulated maximum likelihood (search for similar items in EconPapers)
Date: Written 2003-05-22
Note: This module may be installed from within Stata by typing "ssc install mvprobit". Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/m/mvprobit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvprob_ll.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvprobit.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvppred.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mvppred.hlp help file (text/plain)

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