Arbeitspapier
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: mvdraws 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: DIW Discussion Papers ; No. 584
Klassifikation
Wirtschaft
Thema
Simulation estimation
maximum simulated likelihood
multivariate probit
Halton sequences
pseudo-random sequences
multivariate normal
maximum simulated likelihood
multivariate probit
Halton sequences
pseudo-random sequences
multivariate normal
Ereignis
Geistige Schöpfung
(wer)
Cappellari, Lorenzo
Jenkins, Stephen P.
Jenkins, Stephen P.
Ereignis
Veröffentlichung
(wer)
Deutsches Institut für Wirtschaftsforschung (DIW)
(wo)
Berlin
(wann)
2006
- Handle
- Letzte Aktualisierung
-
12.07.2024, 13:20 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Cappellari, Lorenzo
- Jenkins, Stephen P.
- Deutsches Institut für Wirtschaftsforschung (DIW)
Entstanden
- 2006
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