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

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Author Info

  • David Roodman

    ()
    (Center for Global Development)

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.

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File URL: http://fmwww.bc.edu/repec/bocode/g/ghk2version.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/g/ghk2.mata
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/g/ghk2.hlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/l/lghk2.mlib
File Function: Mata object library
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S456939.

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Programming language: Stata
Requires: Stata version 9.2
Date of creation: 10 Jun 2008
Date of revision: 05 Nov 2012
Handle: RePEc:boc:bocode:s456939

Note: This module should be installed from within Stata by typing "ssc install ghk2". 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 normal; Geweke-Hajivassiliou-Keane; Mata;

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