Cappellari, L and Jenkins, SP (2006) Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation. The Stata Journal, 6 (2). pp. 156-189. DOI https://doi.org/10.1177/1536867x0600600202
Cappellari, L and Jenkins, SP (2006) Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation. The Stata Journal, 6 (2). pp. 156-189. DOI https://doi.org/10.1177/1536867x0600600202
Cappellari, L and Jenkins, SP (2006) Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation. The Stata Journal, 6 (2). pp. 156-189. DOI https://doi.org/10.1177/1536867x0600600202
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.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Institute for Social and Economic Research |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 27 Sep 2013 20:07 |
| Last Modified: | 15 Jan 2022 01:06 |
| URI: | http://repository.essex.ac.uk/id/eprint/7830 |