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

Author

Listed:
  • Lorenzo Cappellari

    (Université 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).

Suggested Citation

  • Lorenzo Cappellari & Stephen P. Jenkins, 2003. "MVPROBIT: Stata module to calculate multivariate probit regression using simulated maximum likelihood," Statistical Software Components S432601, Boston College Department of Economics, revised 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.
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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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