Template-type: ReDIF-Paper 1.0
Author-Name: P. Jenkins, Stephen
Author-Name: Cappellari, Lorenzo
Title: Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
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.

Creation-Date: 20060401
Number: 2006-16
Publication-Status: published
File-URL: https://www.iser.essex.ac.uk/wp-content/uploads/files/working-papers/iser/2006-16.pdf
File-Format: Application/pdf
Handle: RePEc:ese:iserwp:2006-16