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

Author

Listed:
  • Lorenzo Cappellari

    (Université del Piemonte Orientale and University of Essex)

  • Stephen P. Jenkins

    (London School of Economics and Political Science)

Programming Language

Stata

Abstract

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).

Suggested Citation

  • Lorenzo Cappellari & Stephen P. Jenkins, 2003. "MVPROBIT: Stata module to calculate multivariate probit regression using simulated maximum likelihood," Statistical Software Components S432601, Boston College Department of Economics, revised 15 Apr 2024.
    • Handle: RePEc:boc:bocode:s432601
    Note: This module may be installed from within Stata by typing "ssc install mvprobit". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/m/mvprobit.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mvprob_ll.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mvprobit.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mvppred.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mvppred.hlp
    File Function: help file
    Download Restriction: no
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    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Post estimation counterfactual biprobit draws
      by Francis Smart in Econometrics by Simulation on 2012-07-03 20:00:00

    Citations

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    Cited by:

    1. Manuel Artis & Raul Ramos & Jordi Suriñach, 2006. "Job losses, outsourcing and relocation, empirical evidence using microdata," IREA Working Papers 200601, University of Barcelona, Research Institute of Applied Economics, revised Dec 2006.
    2. Donata Bessey & Uschi Backes-Gellner, 2009. "Marijuana Consumption, Educational Outcomes and Labor Market Success: Evidence from Switzerland," Economics of Education Working Paper Series 0043, University of Zurich, Department of Business Administration (IBW).
    3. Erling Barth & Bernt Bratsberg & Torbjørn Hægeland & Oddbjørn Raaum, 2008. "Who pays for performance?," International Journal of Manpower, Emerald Group Publishing Limited, vol. 29(1), pages 8-29, March.
    4. Tether, B. & Bascavusoglu-Moreau, E., 2012. "A Different Path to Growth? Service Innovation and Performance amongst UK Manufacturers," Working Papers wp433, Centre for Business Research, University of Cambridge.

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