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
-
Englisch
- Bibliographic citation
-
Series: ISER Working Paper Series ; No. 2006-16
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Cappellari, Lorenzo
Jenkins, Stephen P.
- Event
-
Veröffentlichung
- (who)
-
University of Essex, Institute for Social and Economic Research (ISER)
- (where)
-
Colchester
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:44 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.
- University of Essex, Institute for Social and Economic Research (ISER)
Time of origin
- 2006
Other Objects (12)
Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
Re-employment probabilities for Spanish men: what role does the unemployment benefit system play?
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Re-employment probabilities for Spanish men: what role does the unemployment benefit system play?
Getting the Measure of Inequality
Perspectives on Poverty in Europe
The distribution of income by sectors of the population
Comparing Distributions of Ordinal Data
Pareto Models, Top Incomes, and Recent Trends in UK Income Inequality
The British household panel survey and its income data
Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
Re-employment probabilities for Spanish men: what role does the unemployment benefit system play?
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Re-employment probabilities for Spanish men: what role does the unemployment benefit system play?
Getting the Measure of Inequality
Perspectives on Poverty in Europe
The distribution of income by sectors of the population
Comparing Distributions of Ordinal Data
Pareto Models, Top Incomes, and Recent Trends in UK Income Inequality
The British household panel survey and its income data
Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation
Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
Re-employment probabilities for Spanish men: what role does the unemployment benefit system play?
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Modelling low pay transition probabilities, accounting for panel attrition, non-response, and initial conditions
Re-employment probabilities for Spanish men: what role does the unemployment benefit system play?
Getting the Measure of Inequality
Perspectives on Poverty in Europe
The distribution of income by sectors of the population
Comparing Distributions of Ordinal Data
Pareto Models, Top Incomes, and Recent Trends in UK Income Inequality