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

By Lorenzo Cappellari and Stephen P. Jenkins

Abstract

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 themselves. Several illustrations show how the programs may be used for maximum simulated likelihood estimation

Topics: QA Mathematics
Publisher: Stata Press
Year: 2006
OAI identifier: oai:eprints.lse.ac.uk:32065
Provided by: LSE Research Online
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