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

Listed author(s):
  • David Roodman



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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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: 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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Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

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