Calculation of Multivariate Normal Probabilities By Simulation, With Applications to Maximum Simulated Likelihood Estimation

29 Pages Posted: 8 May 2006

See all articles by Lorenzo Cappellari

Lorenzo Cappellari

Catholic University of the Sacred Heart of Milan; University of Essex - Institute for Social and Economic Research (ISER); Institute for the Study of Labor (IZA)

Stephen P. Jenkins

London School of Economics & Political Science (LSE) - Department of Social Policy and Administration; Institute for the Study of Labor (IZA); University of Essex - Institute for Social and Economic Research (ISER)

Date Written: May 2006

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 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

Suggested Citation

Cappellari, Lorenzo and Jenkins, Stephen P., Calculation of Multivariate Normal Probabilities By Simulation, With Applications to Maximum Simulated Likelihood Estimation (May 2006). IZA Discussion Paper No. 2112, Available at SSRN: https://ssrn.com/abstract=900829

Lorenzo Cappellari

Catholic University of the Sacred Heart of Milan ( email )

Largo Gemelli, 1
Via Necchi 9
Milan, MI 20123
Italy

University of Essex - Institute for Social and Economic Research (ISER)

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom

Institute for the Study of Labor (IZA)

P.O. Box 7240
Bonn, D-53072
Germany

Stephen P. Jenkins (Contact Author)

London School of Economics & Political Science (LSE) - Department of Social Policy and Administration ( email )

Houghton Street
London, England WC2A 2AE
United Kingdom

Institute for the Study of Labor (IZA)

P.O. Box 7240
Bonn, D-53072
Germany

University of Essex - Institute for Social and Economic Research (ISER) ( email )

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom
+44 120 687 3374 (Phone)
+44 120 687 3151 (Fax)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
637
Abstract Views
2,995
rank
44,808
PlumX Metrics