Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation
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- Lorenzo Cappellari & Stephen P. Jenkins, 2006. "Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation," Stata Journal, StataCorp LP, vol. 6(2), pages 156-189, June.
- Lorenzo Cappellari & Stephen P. Jenkins, 2006. "Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation," Discussion Papers of DIW Berlin 584, DIW Berlin, German Institute for Economic Research.
- P. Jenkins, Stephen & Cappellari, Lorenzo, 2006. "Calculation of multivariate normal probabilities by simulation, with applications to maximum simulated likelihood estimation," ISER Working Paper Series 2006-16, Institute for Social and Economic Research.
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More about this item
Keywords
pseudo-random sequences; simulation estimation; Halton sequences; multivariate probit; maximum simulated likelihood; multivariate normal; GHK simulator;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DCM-2006-05-13 (Discrete Choice Models)
- NEP-ECM-2006-05-13 (Econometrics)
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