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.
- Language
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Englisch
- Bibliographic citation
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Series: DIW Discussion Papers ; No. 584
- Classification
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Wirtschaft
- Subject
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Simulation estimation
maximum simulated likelihood
multivariate probit
Halton sequences
pseudo-random sequences
multivariate normal
- Event
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Geistige Schöpfung
- (who)
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Cappellari, Lorenzo
Jenkins, Stephen P.
- Event
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Veröffentlichung
- (who)
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Deutsches Institut für Wirtschaftsforschung (DIW)
- (where)
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Berlin
- (when)
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2006
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Cappellari, Lorenzo
- Jenkins, Stephen P.
- Deutsches Institut für Wirtschaftsforschung (DIW)
Time of origin
- 2006
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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
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Re-employment probabilities for Spanish men: what role does the unemployment benefit system play?
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Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Spaghetti unravelled: a model-based description of differences in income-age trajectories
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Marital splits and income changes over the longer term