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st: Minor revision to -mvprobit- on SSC


From   "Stephen P. Jenkins" <stephenj@essex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Minor revision to -mvprobit- on SSC
Date   Wed, 25 Jan 2006 14:43:22 +0000

With thanks to Kit Baum, a revised version of -mvprobit- is now downloadable
from SSC.   This is a minor, cosmetic, revision. (In the earlier version, some
unnecessary output was echoed to the screen if the "aa" option was combined
with  the  "if" qualifier. This does not happen now.)

Stephen Jenkins


TITLE
      'MVPROBIT': module to calculate multivariate probit regression using
simulated maximum likelihood

DESCRIPTION/AUTHOR(S)

      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).

      KW: multivariate probit
      KW: simulated maximum likelihood

      Requires: Stata version 7.0

      Distribution-Date: 20060125

      Author: Lorenzo Cappellari, Universitý del Piemonte Orientale and
University of Essex
      Support: email stephenj@essex.ac.uk

      Author: Stephen P. Jenkins, University of Essex
      Support: email


INSTALLATION FILES                             (type net install mvprobit)
      mvprobit.ado
      mvprob_ll.ado
      mvprobit.hlp
      mvppred.ado
      mvppred.hlp
----------------------------------------------------------------------------------------------------
(type -ssc install mvprobit- to install)



--
Professor Stephen P. Jenkins <stephenj@essex.ac.uk>
Institute for Social and Economic Research (ISER)
University of Essex, Colchester, CO4 3SQ, UK
Tel: +44 (0)1206 873374. Fax: +44 (0)1206 873151.
http://www.iser.essex.ac.uk
Survival Analysis using Stata:
http://www.iser.essex.ac.uk/teaching/degree/stephenj/ec968/

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