Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation

Cappellari, Lorenzo and Jenkins, Stephen P. ORCID: 0000-0002-8305-9774 (2006) Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation. Stata Journal, 6 (2). pp. 156-189. ISSN 1536-867X

Full text not available from this repository.

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 pseudorandom 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.

Item Type:	Article
Official URL:	http://www.stata-journal.com/
Additional Information:	© 2006 StataCorp LP
Divisions:	Social Policy STICERD
Subjects:	Q Science > QA Mathematics
Date Deposited:	03 Feb 2011 10:38
Last Modified:	08 Oct 2024 03:39
URI:	http://eprints.lse.ac.uk/id/eprint/32065

Actions (login required)

View Item