Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
By: by Lorenzo Cappellari, Stephen P. Jenkins
Contributors: Jenkins, Stephen P.
Series: Discussion paper -- no. 2112; Discussion paper (Forschungsinstitut zur Zukunft der Arbeit : Online) -- no. 2112
Publisher: IZA
Published: 2006
Place of publication: Bonn, Germany
Language: eng
Format: [electronic resource] /
Subjects: Probabilities; Multivariate analysis
Description: "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"--Forschungsinstitut zur Zukunft der Arbeit web site.
Notes: Title from PDF file as viewed on 5/5/2006.

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