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: mdraws for deriving draws from the standard uniform density using either Halton or pseudorandom sequences, and an egen function, mvnp(), for calculating the probabilities them- selves. Several illustrations show how the programs may be used for maximum simulated likelihood estimation. Copyright 2006 by StataCorp LP.
Volume (Year): 6 (2006)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.stata-journal.com/ |
|Order Information:||Web: http://www.stata-journal.com/subscription.html|
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.:
- 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.
- Lorenzo Cappellari & Stephen P. Jenkins, 2002.
"Modelling Low Income Transitions,"
Discussion Papers of DIW Berlin
288, DIW Berlin, German Institute for Economic Research.
- Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2, September.
- William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, December.
- 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.
- Stephen P. Jenkins & Lorenzo Cappellari & Peter Lynn & Annette JÃ¤ckle & Emanuela Sala, 2005. "Patterns of Consent: Evidence from a General Household Survey," Discussion Papers of DIW Berlin 490, DIW Berlin, German Institute for Economic Research.
- 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.
- 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.
- Peter Haan & Arne Uhlendorff, 2006. "Estimation of multinomial logit models with unobserved heterogeneity using maximum simulated likelihood," Stata Journal, StataCorp LP, vol. 6(2), pages 229-245, June.
- Lorenzo Cappellari & Stephen P. Jenkins, 2003.
"Multivariate probit regression using simulated maximum likelihood,"
StataCorp LP, vol. 3(3), pages 278-294, September.
- Lorenzo Cappellari & Stephen P. Jenkins, 2003. "Multivariate probit regression using simulated maximum likelihood," United Kingdom Stata Users' Group Meetings 2003 10, Stata Users Group.
- 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.
When requesting a correction, please mention this item's handle: RePEc:tsj:stataj:v:6:y:2006:i:2:p:156-189. 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: (Christopher F. Baum)or (Lisa Gilmore)
If references are entirely missing, you can add them using this form.