GHK2: Stata module (enhanced Mata function) to implement the Geweke-Hajivassiliou-Keane multivariate normal simulator

David Malin Roodman ()

Statistical Software Components from Boston College Department of Economics

Abstract: ghk2() estimates cumulative multivariate normal probabilities and optionally computes scores. It is modeled on Stata 10's ghkfast(), using pre-generated draws for speed. It differs in the following significant respects: (1) It accepts lower as well as upper bounds of integration. (2) It works in Stata 9. (3) It is an order of magnitude faster than ghkfast() when the number of observations is high relative to the number of simulation draws per observation, though it can be slower at the opposite extreme. (4) It does not "pivot" bounds of integration, putting the larger entries toward the end, which somewhat increases the variability of the simulated probability but eliminates discontinuities in the function that can otherwise stymie a likelihood search by -ml- when draws are few.

Language: Stata
Requires: Stata version 9
Keywords: multivariate normal; Geweke-Hajivassiliou-Keane; Mata (search for similar items in EconPapers)
Date: 2008-06-10, Revised 2009-01-16
Note: This module may be installed from within Stata by typing "ssc install ghk2". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/g/ghk2version.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/ghk2.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/ghk2.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lghk2.mlib Mata object library (application/x-stata)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s456939

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