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Title:Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation PDF Logo
Authors:Cappellari, Lorenzo
Jenkins, Stephen P.
Issue Date:2006
Series/Report no.:DIW-Diskussionspapiere 584
Abstract:We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: mvdraws 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.
Subjects:Simulation estimation
maximum simulated likelihood
multivariate probit
Halton sequences
pseudo-random sequences
multivariate normal
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
DIW-Diskussionspapiere

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