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MVTOBIT: Stata module to calculate multivariate tobit models by simulated maximum likelihood (SML)

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Author Info
Mikkel Barslund () (Danish Economic Councils)

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Abstract

mvtobit estimates M-equation tobit models (including bivariate tobit models). To evaluate the multidimensional integrals, mvtobit relies on Cappellari & Jenkins' mdraws and egen mvnp commands to implement the Geweke-Hajivassiliou-Keane (GHK) simulator. The estimator is implemented with the lf method and supports all the usual maximum likelihood features. Computation time is an issue with many equations. Users of Stata 9 and higher should have a look at the user command cmp.

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File URL: http://fmwww.bc.edu/repec/bocode/m/mvtobit.ado
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvtobit_ll.ado
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvtobit_2ll.ado
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvtobit.hlp
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456875.

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Programming language: Stata
Requires: Stata version 8.2
Date of creation: 26 Sep 2007
Date of revision: 13 Oct 2009
Handle: RePEc:boc:bocode:s456875

Note: This module may be installed from within Stata by typing "ssc install mvtobit". 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/
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Web: http://repec.org/docs/ssc.php

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords: multivariate tobit; simulated maximum likelihood; bivariate tobit; GHK simulator;

Statistics
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This page was last updated on 2009-11-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.