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Multivariate probit regression using simulated maximum likelihood

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Author Info
Lorenzo Cappellari (Università del Piemonte Orientale and University of Essex)
Stephen P. Jenkins () (University of Essex)

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Abstract

We discuss the application of the GHK simulation method to maximum likelihood estimation of the multivariate probit regression model, and describe and illustrate a Stata program mvprobit for this purpose.

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Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2003 with number 10.

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Date of creation: 16 Mar 2003
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Handle: RePEc:boc:usug03:10

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  1. V A Hajivassiliou, 1997. "Some Practical Issues in Maximum Simulated Likelihood," STICERD - Econometrics Paper Series /1997/340, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  2. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January. [Downloadable!] (restricted)
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