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

dc.creator	Cappellari, Lorenzo
dc.creator	Jenkins, Stephen P.
dc.date	2006
dc.date.accessioned	2013-10-16T07:00:11Z
dc.date.available	2013-10-16T07:00:11Z
dc.date.issued	2013-10-16
dc.identifier	http://hdl.handle.net/10419/18477
dc.identifier	ppn:512766576
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/18477
dc.description	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.
dc.language	eng
dc.publisher	Deutsches Institut für Wirtschaftsforschung (DIW) Berlin
dc.relation	DIW-Diskussionspapiere 584
dc.rights	http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject	ddc:330
dc.subject	Simulation estimation
dc.subject	maximum simulated likelihood
dc.subject	multivariate probit
dc.subject	Halton sequences
dc.subject	pseudo-random sequences
dc.subject	multivariate normal
dc.title	Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
dc.type	doc-type:workingPaper

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