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

被引：87
|
作者：
Cappellari, Lorenzo [1 ]
Jenkins, Stephen P.
机构：
[1] Catholic Univ Milan, Milan, Italy
[2] Univ Essex, Colchester CO4 3SQ, Essex, England
来源：
STATA JOURNAL | 2006年 / 6卷 / 02期
关键词：
st0101; mdraws; egen function mvnp(); simulation estimation; maximum simulated likelihood; multivariate probit; Halton sequences; pseudorandom sequences; multivariate normal; GHK simulator;
D O I：
10.1177/1536867X0600600202
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
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.
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页码：156 / 189
页数：34
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