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

Cappellari, Lorenzo and Jenkins, Stephen P. (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

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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
Subjects: Q Science > QA Mathematics
Sets: Departments > Social Policy
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 03 Feb 2011 10:38
Last Modified: 03 Nov 2017 09:47
URI: http://eprints.lse.ac.uk/id/eprint/32065

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