EconStor >
Forschungsinstitut zur Zukunft der Arbeit (IZA), Bonn >
IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/33466
  
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.:IZA Discussion Papers 2112
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.
Subjects:simulation estimation
maximum simulated likelihood
multivariate probit
Halton sequences
pseudo-random sequences
multivariate normal
GHK simulator
JEL:C15
C51
C87
Document Type:Working Paper
Appears in Collections:IZA Discussion Papers, Forschungsinstitut zur Zukunft der Arbeit (IZA)

Files in This Item:
File Description SizeFormat
51162882X.pdf384.7 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/33466

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.