Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
01 Jun 2006
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.
The Stata Journal
Volume and page numbers
6 , 156 -189
Filestore. Copy index notes from working paper record.