May 2006

IZA DP No. 2112: Calculation of Multivariate Normal Probabilities by Simulation, with Applications to Maximum Simulated Likelihood Estimation

published in: Stata Journal, 2006, 6 (2), 156-189

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.