English, Article edition: MVPROBIT: Stata module to calculate multivariate probit regression using simulated maximum likelihood Lorenzo Cappellari; Stephen P. Jenkins

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Bookmark: http://trove.nla.gov.au/version/102800
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  • code
Language
  • English

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Title
  • MVPROBIT: Stata module to calculate multivariate probit regression using simulated maximum likelihood
Author
  • Lorenzo Cappellari
  • Stephen P. Jenkins
Physical Description
  • code
Notes
  • 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).
  • multivariate probit, simulated maximum likelihood
  • RePEc:boc:bocode:s432601
Language
  • English
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