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st: Is SUREG's log-likelihood concentrated?

From   Casey Quinn <[email protected]>
To   [email protected]
Subject   st: Is SUREG's log-likelihood concentrated?
Date   Thu, 13 Apr 2006 12:41:21 +0100

I'm (basically) comparing a multivariate Probit (using the mvprobit command) with a method employing inverse distributions and the sureg command for their subsequent multivariate normal distribution. Even using normal inversesof univariate probit probabilities however my sureg log-likelihoods are a good deal higher/less negative than the mvprobit ones, which is unexpected. I'm wondering whether the sureg perhaps uses concentrated log-likelihoods. The manual doesn't cover this, but does anybody out there have any information, or a similar experience?

Casey Quinn
Centre for Health Economics
University of York
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