Advanced Search
MyIDEAS: Login to save this paper or follow this series

Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation

Contents:

Author Info

  • Cappellari, Lorenzo

    ()
    (Università Cattolica del Sacro Cuore)

  • Jenkins, Stephen P.

    ()
    (London School of Economics)

Abstract

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://ftp.iza.org/dp2112.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 2112.

as in new window
Length: 29 pages
Date of creation: May 2006
Date of revision:
Publication status: published in: Stata Journal, 2006, 6 (2), 156-189
Handle: RePEc:iza:izadps:dp2112

Contact details of provider:
Postal: IZA, P.O. Box 7240, D-53072 Bonn, Germany
Phone: +49 228 3894 223
Fax: +49 228 3894 180
Web page: http://www.iza.org

Order Information:
Postal: IZA, Margard Ody, P.O. Box 7240, D-53072 Bonn, Germany
Email:

Related research

Keywords: pseudo-random sequences; simulation estimation; Halton sequences; multivariate probit; maximum simulated likelihood; multivariate normal; GHK simulator;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Peter Haan & Arne Uhlendorff, 2006. "Estimation of Multinomial Logit Models with Unobserved Heterogeneity Using Maximum Simulated Likelihood," Discussion Papers of DIW Berlin 573, DIW Berlin, German Institute for Economic Research.
  2. Stephen P. Jenkins & Lorenzo Cappellari & Peter Lynn & Annette Jäckle & Emanuela Sala, 2006. "Patterns of consent: evidence from a general household survey," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 169(4), pages 701-722.
  3. repec:ese:iserwp:2004-27 is not listed on IDEAS
  4. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521747387, April.
  5. William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, March.
  6. Lorenzo Cappellari & Stephen P. Jenkins, 2003. "Multivariate probit regression using simulated maximum likelihood," United Kingdom Stata Users' Group Meetings 2003 10, Stata Users Group.
  7. Lorenzo Cappellari & Stephen P. Jenkins, 2002. "Modelling Low Income Transitions," Discussion Papers of DIW Berlin 288, DIW Berlin, German Institute for Economic Research.
  8. Stephane Hess & John Polak, 2003. "An alternative method to the scrambled Halton sequence for removing correlation between standard Halton sequences in high dimensions," ERSA conference papers ersa03p406, European Regional Science Association.
  9. Mark Stewart, 2006. "Maximum simulated likelihood estimation of random-effects dynamic probit models with autocorrelated errors," Stata Journal, StataCorp LP, vol. 6(2), pages 256-272, June.
  10. Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June.
  11. repec:ese:iserwp:2002-08 is not listed on IDEAS
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:iza:izadps:dp2112. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Fallak).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.