Skip to content

Journal Article

Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation

Authors

Publication date

01 Jun 2006

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.

Published in

The Stata Journal

Volume and page numbers

6 , 156 -189

Notes

Filestore. Copy index notes from working paper record.


Related publications

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

    Lorenzo Cappellari and Stephen P. Jenkins

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

    Lorenzo Cappellari and Stephen P. Jenkins

#519368


Research home

Research home

News

Latest findings, new research

Publications search

Search all research by subject and author

Podcasts

Researchers discuss their findings and what they mean for society

Projects

Background and context, methods and data, aims and outputs

Events

Conferences, seminars and workshops

Survey methodology

Specialist research, practice and study

Taking the long view

ISER's annual report

Themes

Key research themes and areas of interest