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 pseudo-random sequences, and an egen function -mvnp()- for calculating the probabilities themselves. Several illustrations show how the programs may be used for maximum simulated likelihood estimation.

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Year of publication:	2006
Authors:	Cappellari, Lorenzo ; Jenkins, Stephen P.
Publisher:	Bonn : Institute for the Study of Labor (IZA)
Subject:	simulation estimation \| maximum simulated likelihood \| multivariate probit \| Halton sequences \| pseudo-random sequences \| multivariate normal \| GHK simulator

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Series:	IZA Discussion Papers ; 2112
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	51162882X [GVK] hdl:10419/33466 [Handle]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation ; C87 - Econometric Software
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010267543