On Mon, 8 Jul 2002, Nick Cox wrote:
> The most obvious reason why MNP doesn't exist in Stata is technical,
> centring on calculation of the needed multivariate normal probabilities.
> Greene's text on econometrics provides one sobering account,
> which is probably more familiar to you than it is to me.
Chris Ferrall has written a Stata program to calculate
rectangle probabilities under the multivariate normal
distribution which is available off this page:
http://qed.econ.queensu.ca/pub/faculty/ferrall/stata/readme.html
It should be easy to write a wrapper to do MNP using
this subroutine. But, as per Nick's comments, it is
probably better to turn to a lower level language to
estimate such a computationally demanding model.
Cheers,
Chris Auld
Department of Economics
University of Calgary
[email protected]
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