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

Author

Listed:
  • David Roodman

    () (Givewell.org)

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.

Suggested Citation

  • David Roodman, 2008. "GHK2: Stata module (enhanced Mata function) to implement the Geweke-Hajivassiliou-Keane multivariate normal simulator," Statistical Software Components S456939, Boston College Department of Economics, revised 29 Jun 2017.
  • 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.
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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
    Download Restriction: no

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