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Cappellari, Lorenzo
Jenkins, Stephen P.
Year of Publication: 
Series/Report no.: 
DIW Discussion Papers 584
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.
Simulation estimation
maximum simulated likelihood
multivariate probit
Halton sequences
pseudo-random sequences
multivariate normal
Document Type: 
Working Paper

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