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

Stephen Jenkins and Lorenzo Cappellari

No 2006-16, ISER Working Paper Series from Institute for Social and Economic Research

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.

Date: 2006-04-01
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Related works:
Journal Article: Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation (2006)
Working Paper: Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation (2006)
Working Paper: Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation (2006)
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