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

被引：91

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.

引用

页码：156 / 189

页数：34

共 13 条

[1] MAXIMUM-LIKELIHOOD-ESTIMATION FOR MULTIVARIATE NORMAL-DISTRIBUTION WITH MONOTONE SAMPLE
JINADASA, KG
TRACY, DS
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1992, 21 (01) : 41 - 50
[2] Maximum simulated likelihood estimation of random-effects dynamic probit models with autocorrelated errors
Stewart, Mark
STATA JOURNAL, 2006, 6 (02) : 256 - 272
[3] Estimation of multinomial logit models with unobserved heterogeneity using maximum simulated likelihood
Haan, Peter
Uhlendorff, Arne
STATA JOURNAL, 2006, 6 (02) : 229 - 245
[4] Biases in the Maximum Simulated Likelihood Estimation of the Mixed Logit Model
Jumamyradov, Maksat
Munkin, Murat
Greene, William H.
Craig, Benjamin M.
ECONOMETRICS, 2024, 12 (02)
[5] Maximum simulated likelihood estimation of a negative binomial regression model with multinomial endogenous treatment
Deb, Partha
Trivedi, Pravin K.
STATA JOURNAL, 2006, 6 (02) : 246 - 255
[6] Simulation of multivariate normal rectangle probabilities and their derivatives - Theoretical and computational results
Hajivassiliou, V
McFadden, D
Ruud, P
JOURNAL OF ECONOMETRICS, 1996, 72 (1-2) : 85 - 134
[7] Multivariate normal maximum likelihood with both ordinal and continuous variables, and data missing at random
Pritikin, Joshua N.
Brick, Timothy R.
Neale, Michael C.
BEHAVIOR RESEARCH METHODS, 2018, 50 (02) : 490 - 500
[8] Multivariate normal maximum likelihood with both ordinal and continuous variables, and data missing at random
Joshua N. Pritikin
Timothy R. Brick
Michael C. Neale
Behavior Research Methods, 2018, 50 : 490 - 500
[9] Normal-beta exponential stochastic frontier model: Maximum simulated likelihood approach
Nigusie, Misgan Desale
PORTUGUESE ECONOMIC JOURNAL, 2024, 23 (03) : 489 - 504
[10] Quasi-random maximum simulated likelihood estimation of the mixed multinomial logit model
Bhat, CR
TRANSPORTATION RESEARCH PART B-METHODOLOGICAL, 2001, 35 (07) : 677 - 693

← 1 2 →