With thanks to Kit Baum, a revised version of -mvprobit- is now downloadable
from SSC. This is a minor, cosmetic, revision. (In the earlier version, some
unnecessary output was echoed to the screen if the "aa" option was combined
with the "if" qualifier. This does not happen now.)
Stephen Jenkins
TITLE
'MVPROBIT': module to calculate multivariate probit regression using
simulated maximum likelihood
DESCRIPTION/AUTHOR(S)
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).
KW: multivariate probit
KW: simulated maximum likelihood
Requires: Stata version 7.0
Distribution-Date: 20060125
Author: Lorenzo Cappellari, Universit� del Piemonte Orientale and
University of Essex
Support: email [email protected]
Author: Stephen P. Jenkins, University of Essex
Support: email
INSTALLATION FILES (type net install mvprobit)
mvprobit.ado
mvprob_ll.ado
mvprobit.hlp
mvppred.ado
mvppred.hlp
----------------------------------------------------------------------------------------------------
(type -ssc install mvprobit- to install)
--
Professor Stephen P. Jenkins <[email protected]>
Institute for Social and Economic Research (ISER)
University of Essex, Colchester, CO4 3SQ, UK
Tel: +44 (0)1206 873374. Fax: +44 (0)1206 873151.
http://www.iser.essex.ac.uk
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/teaching/degree/stephenj/ec968/
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