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.
Börsch-SupanA., and HajivassiliouV.1993. Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models. Journal of Econometrics58: 347–368.
2.
Börsch-SupanA., HajivassiliouV., KotlikoffL., and MorrisL.1992. Health, children, and elderly living arrangements: A multiperiod-multinomial probit model with unobserved heterogeneity and autocorrelated errors. In Topics in the Economics of Aging, ed. WiseD., 79–104. Chicago: The University of Chicago Press.
3.
GourierouxC., and MonfontA.1996. Simulation-Based Econometric Methods.Oxford: Oxford University Press.
4.
GreeneW. H.2003. Econometric Analysis.5th ed. Upper Saddle River, NJ: Prentice–Hall.
5.
HajivassiliouV.1997. Some practical issues in maximum simulated likelihood. STICERD Discussion Paper no. EM/97/340. London: London School of Economics. Downloadable from http://econ.lse.ac.uk/staff/vassilis/index_own.html.
6.
HajivassiliouV., and RuudP.1994. Classical estimation methods for LDV models using simulation. In Handbook of Econometrics, eds. EngleR., and McFaddenD., vol. IV, 2383–2441. Amsterdam: North-Holland.
7.
KeaneM. P.1994. A computationally practical simulation estimator for panel data. Econometrica62: 95–116.
8.
PindyckR. S., and RubinfeldD.L.1998. Econometric Models and Economic Forecasts.4th ed. New York: McGraw–Hill.
9.
SternS.1997. Simulation-based estimation. Journal of Economic Literature35: 2006–2039.
