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Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation

  • Lorenzo Cappellari

    ()

    (Catholic University of Milan
    University of Essex)

  • Stephen P. Jenkins

    ()

    (University of Essex)

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.

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Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 6 (2006)
Issue (Month): 2 (June)
Pages: 156-189

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Handle: RePEc:tsj:stataj:v:6:y:2006:i:2:p:156-189
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  1. Lorenzo Cappellari & Stephen P. Jenkins, 2004. "Modelling low income transitions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(5), pages 593-610.
  2. 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.
  3. 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.
  4. Stephen P. Jenkins & Lorenzo Cappellari & Peter Lynn & Annette Jäckle & 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.
  5. Kenneth Train, 2003. "Discrete Choice Methods with Simulation," Online economics textbooks, SUNY-Oswego, Department of Economics, number emetr2.
  6. 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.
  7. William W. Gould & Jeffrey Pitblado & Brian Poi, 2010. "Maximum Likelihood Estimation with Stata," Stata Press books, StataCorp LP, edition 4, number ml4, November.
  8. Lorenzo Cappellari & Stephen P. Jenkins, 2003. "Multivariate probit regression using simulated maximum likelihood," Stata Journal, StataCorp LP, vol. 3(3), pages 278-294, September.
  9. 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.
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