@techreport{Cappellari2006Calculation,
abstract = {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.},
address = {Bonn},
author = {Lorenzo Cappellari and Stephen P. Jenkins},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C15; C51; C87; 330; simulation estimation; maximum simulated likelihood; multivariate probit; Halton sequences; pseudo-random sequences; multivariate normal; GHK simulator},
language = {eng},
number = {2112},
publisher = {IZA},
title = {Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation},
type = {IZA Discussion Papers},
url = {http://hdl.handle.net/10419/33466},
year = {2006}
}
