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Numerical Aspects of Multivariate Normal Probabilities in Econometric Models

In: Annals of Economic and Social Measurement, Volume 5, number 4

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  • J. E. Dutt

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  • J. E. Dutt, 1976. "Numerical Aspects of Multivariate Normal Probabilities in Econometric Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 547-561 National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberch:10495
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    References listed on IDEAS

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    1. James Tobin, 1955. "The Application of Multivariate Probit Analysis to Economic Survey Data," Cowles Foundation Discussion Papers 1, Cowles Foundation for Research in Economics, Yale University.
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    Cited by:

    1. Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986. "Classical estimation methods for LDV models using simulation," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441 Elsevier.
    2. Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996. "Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134.
    3. Vassilis A. Hajivassiliou & Daniel McFadden & Paul A. Ruud, 1994. "Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results," Cowles Foundation Discussion Papers 1021R, Cowles Foundation for Research in Economics, Yale University.
    4. Vassilis A. Hajivassiliou, 1991. "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers 1007, Cowles Foundation for Research in Economics, Yale University.
    5. Vassilis Argyrou Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Working Papers _025, Yale University.

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