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ISER Working Paper Series 2006-16

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

Authors

Publication date

01 Apr 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.

Notes

working paper

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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

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