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

Publication type

ISER Working Paper Series

Series Number

2006-16

Series

ISER Working Paper Series

Authors

Publication date

April 1, 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.

Subject

Notes

working paper

---

Related Publications

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

  Lorenzo Cappellari, Stephen P. Jenkins,

  Journal Article - 20060601

Paper download  

#508340