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Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results

  • Vassilis A. Hajivassiliou
  • Daniel L. McFadden
  • Paul Ruud

    (Yale University)

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File URL: ftp://ftp.econ.yale.edu/pub/vassilis/papers/ps/rectprb.zip
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Paper provided by Yale University in its series Working Papers with number _024.

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Date of creation: Apr 1993
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Handle: RePEc:wop:yaluwp:_024
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  1. McFadden, Daniel L., 1984. "Econometric analysis of qualitative response models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 24, pages 1395-1457 Elsevier.
  2. Ruud, Paul A., 1991. "Extensions of estimation methods using the EM algorithm," Journal of Econometrics, Elsevier, vol. 49(3), pages 305-341, September.
  3. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  4. 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.
  5. Stern, Steven, 1992. "A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models," Econometrica, Econometric Society, vol. 60(4), pages 943-52, July.
  6. Vassilis Argyrou Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Working Papers _025, Yale University.
  7. Daniel McFadden, 1987. "A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration," Working papers 464, Massachusetts Institute of Technology (MIT), Department of Economics.
  8. Vassilis A. Hajivassiliou & Axel Borsch-Supan, 1990. "Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models," Cowles Foundation Discussion Papers 960, Cowles Foundation for Research in Economics, Yale University.
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