TRIPROBIT: Stata module to estimate trivariate probit model using the GHK simulator

Antoine Terracol

Statistical Software Components from Boston College Department of Economics

Abstract: triprobit estimates simulated maximum-likelihood three-equation probit models using the GHK smooth recursive simulator. The simulated maximum likelihood technique consists in simulating the multivariate normal integrals which are involved in the likelihhod equation. The simulated probabilities are fed into the likelihood function which is then maximized using traditional techniques. See Greene (2000, pp 184-185) for a description of the simulation algorithm used here.

Language: Stata
Requires: Stata version 7.0
Keywords: probit; trivariate (search for similar items in EconPapers)
Date: 2002-02-22
Note: This module may be installed from within Stata by typing "ssc install triprobit". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Citations: View citations in EconPapers (5)

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/t/triprobit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/t/triprobit.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/t/triprob_ml.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/GHK_note.pdf documentation (application/pdf)

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