Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation

We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: mdraws for deriving draws from the standard uniform density using either Halton or pseudorandom sequences, and an egen function, mvnp(), for calculating the probabilities them- selves. Several illustrations show how the programs may be used for maximum simulated likelihood estimation. Copyright 2006 by StataCorp LP.

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Year of publication:	2006
Authors:	Cappellari, Lorenzo ; Jenkins, Stephen P.
Published in:	Stata Journal. - StataCorp LP. - Vol. 6.2006, 2, p. 156-189
Publisher:	StataCorp LP
Subject:	mdraws \| egen function mvnp( ) \| simulation estimation \| maxi- mum simulated likelihood \| multivariate probit \| Halton sequences \| pseudorandom sequences \| multivariate normal \| GHK simulator

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004964310