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

Cappellari, Lorenzo and Jenkins, Stephen P (2006) 'Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation.' The Stata Journal: Promoting communications on statistics and Stata, 6 (2). 156 - 189. ISSN 1536-867X

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Abstract

<jats:p> We discuss methods for calculating multivariate normal probabilities by simulation and two new Stata programs for this purpose: mdraws for deriving draws from the standard uniform density using either Halton or pseudorandom 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. </jats:p>

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Faculty of Social Sciences > Institute for Social and Economic Research
Depositing User: Jim Jamieson
Date Deposited: 27 Sep 2013 20:07
Last Modified: 19 Jun 2021 02:15
URI: http://repository.essex.ac.uk/id/eprint/7830

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