Publication type
Journal Article
Authors
Publication date
June 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.
Published in
The Stata Journal
Volume and page numbers
Volume: 6 , p.156 -189
Notes
Filestore. Copy index notes from working paper record.
Related Publications
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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
Lorenzo Cappellari, Stephen P. Jenkins,ISER Working Paper Series - 20060401
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