English, Article edition: GHK2: Stata module (enhanced Mata function) to implement the Geweke-Hajivassiliou-Keane multivariate normal simulator David Roodman

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Bookmark: http://trove.nla.gov.au/version/175702
Physical Description
  • code
Language
  • English

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Title
  • GHK2: Stata module (enhanced Mata function) to implement the Geweke-Hajivassiliou-Keane multivariate normal simulator
Author
  • David Roodman
Physical Description
  • code
Notes
  • 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.
  • multivariate normal, Geweke-Hajivassiliou-Keane, Mata
  • RePEc:boc:bocode:s456939
Language
  • English
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