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

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.

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Year of publication:	2006-05
Authors:	Cappellari, Lorenzo ; Jenkins, Stephen P.
Institutions:	Institute for the Study of Labor (IZA)
Subject:	simulation estimation \| maximum simulated likelihood \| multivariate probit \| Halton sequences \| pseudo-random sequences \| multivariate normal \| GHK simulator

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Extent:	application/pdf
Series:	IZA Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2112 29 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005566499