Calculation of Multivariate Normal Probabilities By Simulation, With Applications to Maximum Simulated Likelihood Estimation
29 Pages Posted: 8 May 2006
Date Written: May 2006
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 pseudo-random 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.
Keywords: simulation estimation, maximum simulated likelihood, multivariate probit
JEL Classification: C15, C51, C87
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