Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18477
Authors: 
Cappellari, Lorenzo
Jenkins, Stephen P.
Year of Publication: 
2006
Series/Report no.: 
DIW Discussion Papers 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

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