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

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Author Info

  • Lorenzo Cappellari

    (Universit del Piemonte Orientale and University of Essex)

  • Stephen P. Jenkins

    ()
    (London School of Economics and Political Science)

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).

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File URL: http://fmwww.bc.edu/repec/bocode/m/mvprobit.ado
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvprob_ll.ado
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvprobit.hlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvppred.ado
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvppred.hlp
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S432601.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 22 May 2003
Date of revision: 25 Jan 2006
Handle: RePEc:boc:bocode:s432601

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.
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

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

Related research

Keywords: multivariate probit; simulated maximum likelihood;

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