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st: Mata ghk and multivariate tobit
Hello again and thank you for this. I had another question for the
list on this topic, which was whether it is possible to estimate a
multivariate tobit system using mvnp and mdraws? mdraws seems to
just give a scalar from a draw from a multivariate normal random
variable, however I think I need to use mdraws to construct the
overall likelihood function to run ml....if anyone has any
suggestions, please let me know - it looks like I may need to use the
ghk utility directly to write into the maximum likelihood function,
rather than the new commands, but how do you get the ghk() results
out of the mata interface and into your maximum likelihood
function? I know others have estimated censored demand systems,
which are multivariate tobit system basically, using GAUSS, but I'd
like to use Stata!!!
Thanks again
Emma
At 08:03 AM 7/11/2006, you wrote:
Emma Stephens <[email protected]> asked for more information
on using Mata's ghk() function. The latest Stata Journal is
special issue on maximum simulated likelihood. There is a paper
on using Mata's ghk() function with an example estimating the
parameters of a multinomial probit model.
Use the -net- command to get access to the examples
. net sj 6-2 st0102
-Rich
[email protected]
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