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

Lorenzo Cappellari and Stephen Jenkins

No 2112, IZA Discussion Papers from IZA Network @ LISER

Abstract: 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 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.

Keywords: pseudo-random sequences; simulation estimation; Halton sequences; multivariate probit; maximum simulated likelihood; multivariate normal; GHK simulator (search for similar items in EconPapers)
JEL-codes: C15 C51 C87 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2006-05
New Economics Papers: this item is included in nep-dcm and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (118)

Published - published in: Stata Journal, 2006, 6 (2), 156-189

Downloads: (external link)
https://docs.iza.org/dp2112.pdf (application/pdf)

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iza:izadps:dp2112

Access Statistics for this paper

More papers in IZA Discussion Papers from IZA Network @ LISER Contact information at EDIRC.
Bibliographic data for series maintained by Mark Fallak ().