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 Institute of Labor Economics (IZA)

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 (117)

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

Ordering information: This working paper can be ordered from
IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany

Access Statistics for this paper

More papers in IZA Discussion Papers from Institute of Labor Economics (IZA) IZA, P.O. Box 7240, D-53072 Bonn, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Holger Hinte ().