Multivariate probit regression using simulated maximum likelihood

被引：614

作者：

Cappellari, Lorenzo ^{[1
,2
]}

Jenkins, Stephen P. ^{[2
]}

机构：

[1] Univ Piemonte Orientale, Novara, Italy

[2] Univ Essex, Colchester, Essex, England

来源：

STATA JOURNAL | 2003年 / 3卷 / 03期

基金：

英国经济与社会研究理事会;

关键词：

st0045; maximum likelihood estimation; multivariate probit regression model; GHK; mvprobit; mvppred;

D O I：

10.1177/1536867X0300300305

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

We discuss the application of the GHK simulation method for maximum likelihood estimation of the multivariate probit regression model and describe and illustrate a Stata program mvprobit for this purpose.

引用

页码：278 / 294

页数：17

共 9 条

[1]

BORSCHSUPAN A, 1992, NAT BUR EC, P79

[2] SMOOTH UNBIASED MULTIVARIATE PROBABILITY SIMULATORS FOR MAXIMUM-LIKELIHOOD-ESTIMATION OF LIMITED DEPENDENT VARIABLE MODELS [J].

BORSCHSUPAN, A ;

HAJIVASSILIOU, VA .

JOURNAL OF ECONOMETRICS, 1993, 58 (03) :347-368

[3]

Gourieroux C., 1996, SIMULATION BASED ECO

[4]

Greene H.W., 2008, ECONOMETRIC ANAL, V6th

[5]

Hajivassiliou V., 1997, EM97340 STICERD LOND

[6]

Hajivassiliou V. A., 1994, Handbook of Econometrics, V4, P2383, DOI DOI 10.1016/S1573-4412(05)80009-1

[7] A COMPUTATIONALLY PRACTICAL SIMULATION ESTIMATOR FOR PANEL-DATA [J].

KEANE, MP .

ECONOMETRICA, 1994, 62 (01) :95-116

[8]

Pindyck RobertS., 2013, MICROECONOMICS

[9]

Stern S, 1997, J ECON LIT, V35, P2006

← 1 →