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Re: st: RE: multinomial probit


From   Christopher Auld <auld@ucalgary.ca>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: multinomial probit
Date   Tue, 9 Jul 2002 10:26:41 -0600 (MDT)



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    
auld@ucalgary.ca

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