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

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. ISSN 1536-867X

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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: Elements
Depositing User: Elements
Date Deposited: 27 Sep 2013 20:07
Last Modified: 15 Jan 2022 01:06
URI: http://repository.essex.ac.uk/id/eprint/7830

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