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

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Author Info

  • Antoine Terracol

    ()
    (Universite de Paris-I)

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.

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File URL: http://fmwww.bc.edu/repec/bocode/t/triprobit.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/t/triprobit.hlp
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File URL: http://fmwww.bc.edu/repec/bocode/t/triprob_ml.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/g/GHK_note.pdf
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S424302.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 22 Feb 2002
Date of revision:
Handle: RePEc:boc:bocode:s424302

Note: This module may be installed from within Stata by typing "ssc install triprobit". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

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Web: http://repec.org/docs/ssc.php

Related research

Keywords: probit; trivariate;

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