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The Stata Journal
Volume 6 Number 2: pp. 156-189

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

Lorenzo Cappellari
Catholic University of Milan
Milan, Italy
and University of Essex
Colchester, UK
Stephen P. Jenkins
University of Essex
Colchester, UK
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.
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View all articles with these keywords: mdraws, egen function mvnp(), simulation estimation, maximum simulated likelihood, multivariate probit, Halton sequences, pseudorandom sequences, multivariate normal, GHK simulator

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