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:	[2021]
Authors:	Cappellari, Lorenzo ; Jenkins, Stephen P.
Publisher:	[S.l.] : SSRN
Subject:	Wahrscheinlichkeitsrechnung \| Probability theory \| Simulation \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (29 p)
Series:	IZA Discussion Paper ; No. 2112
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2006 erstellt
Other identifiers:	10.2139/ssrn.900829 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation ; C87 - Econometric Software
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013317606