Rectangular and wedge-shaped multivariate normal probabilities
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993.
"Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models,"
Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August.
- Vassilis A. Hajivassiliou & Axel Borsch-Supan, 1990. "Smooth Unbiased Multivariate Probability Simulators for Maximum Likelihood Estimation of Limited Dependent Variable Models," Cowles Foundation Discussion Papers 960, Cowles Foundation for Research in Economics, Yale University.
- Keane, Michael, 1993. "Simulation estimation for panel data models with limited dependent variables," MPRA Paper 53029, University Library of Munich, Germany.
- Stern, Steven, 1992. "A Method for Smoothing Simulated Moments of Discrete Probabilities in Multinomial Probit Models," Econometrica, Econometric Society, vol. 60(4), pages 943-952, July.
- Vijverberg, Wim P. M., 1997. "Monte Carlo evaluation of multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 281-307.
- Hajivassiliou, Vassilis & McFadden, Daniel & Ruud, Paul, 1996.
"Simulation of multivariate normal rectangle probabilities and their derivatives theoretical and computational results,"
Journal of Econometrics, Elsevier, vol. 72(1-2), pages 85-134.
- Vassilis A. Hajivassiliou & Daniel L. McFadden & Paul Ruud, 1993. "Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results," Working Papers _024, Yale University.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June.
- Sándor, Z. & András, P., 2003. "Alternate Samplingmethods for Estimating Multivariate Normal Probabilities," Econometric Institute Research Papers EI 2003-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June.
- Sándor, Z. & András, P., 2003. "Alternate Samplingmethods for Estimating Multivariate Normal Probabilities," Econometric Institute Research Papers EI 2003-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Carlos Arias & THOMAS L. COX, 1999. "Maximum Simulated Likelihood: A Brief Introduction for Practitioners," Wisconsin-Madison Agricultural and Applied Economics Staff Papers 421, Wisconsin-Madison Agricultural and Applied Economics Department.
- Ziegler Andreas, 2010. "Z-Tests in Multinomial Probit Models under Simulated Maximum Likelihood Estimation: Some Small Sample Properties," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(5), pages 630-652, October.
- Ziegler, Andreas, 2002. "Simulated Classical Tests in the Multiperiod Multinomial Probit Model," ZEW Discussion Papers 02-38, ZEW - Leibniz Centre for European Economic Research.
- Hajivassiliou, Vassilis A. & Ruud, Paul A., 1986.
"Classical estimation methods for LDV models using simulation,"
Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 40, pages 2383-2441,
Elsevier.
- Hajivassiliou, Vassilis A & Ruud, Paul A., 1993. "Classical Estimation Methods for LDV Models Using Simulation," Department of Economics, Working Paper Series qt3cg196fr, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- V.A. Hajivassiliou & P. A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Econometrics 9311002, University Library of Munich, Germany.
- Vassilis A. Hajivassiliou and Paul A. Ruud., 1993. "Classical Estimation Methods for LDV Models Using Simulation," Economics Working Papers 93-219, University of California at Berkeley.
- Vassilis A. Hajivassiliou & Paul A. Ruud, 1993. "Classical Estimation Methods for LDV Models Using Simulation," Cowles Foundation Discussion Papers 1051, Cowles Foundation for Research in Economics, Yale University.
- Carlos Arias & Thomas Cox, 2001.
"Estimation of a US dairy sector model by maximum simulated likelihood,"
Applied Economics, Taylor & Francis Journals, vol. 33(9), pages 1201-1211.
- Carlos Arias & THOMAS L. COX, 1998. "Estimation of a U.S. Dairy Sector Model by Maximum Simulated Likelihood," Wisconsin-Madison Agricultural and Applied Economics Staff Papers 417, Wisconsin-Madison Agricultural and Applied Economics Department.
- Arias, Carlos & Cox, Thomas L., 1998. "Estimation Of A U.S. Dairy Sector Model By Maximum Simulated Likelihood," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20804, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Kenneth Train, "undated".
"Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning,"
Working Papers
_009, University of California at Berkeley, Econometrics Laboratory Software Archive.
- Kenneth E. Train, 1996. "Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning," Econometrics 9605001, University Library of Munich, Germany.
- Train, Kenneth E., 1995. "Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning," Department of Economics, Working Paper Series qt94h8x4gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Kenneth E. Train., 1995. "Simulation Methods for Probit and Related Models Based on Convenient Error Partitioning," Economics Working Papers 95-237, University of California at Berkeley.
- Ziegler, Andreas, 2001. "Simulated z-tests in multinomial probit models," ZEW Discussion Papers 01-53, ZEW - Leibniz Centre for European Economic Research.
- Zsolt Sandor, 2009. "Multinomial discrete choice models (in Russian)," Quantile, Quantile, issue 7, pages 9-19, September.
- Daniel Ackerberg, 2009.
"A new use of importance sampling to reduce computational burden in simulation estimation,"
Quantitative Marketing and Economics (QME), Springer, vol. 7(4), pages 343-376, December.
- Daniel A. Ackerberg, 2001. "A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation," NBER Technical Working Papers 0273, National Bureau of Economic Research, Inc.
- Arias, Carlos & Cox, Thomas L., 1998. "Estimation Of A U.S. Dairy Sector Model By Maximum Simulated Likelihood," Staff Papers 12617, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
- Rennings, Klaus & Ziegler, Andreas & Zwick, Thomas, 2001. "Employment changes in environmentally innovative firms," ZEW Discussion Papers 01-46, ZEW - Leibniz Centre for European Economic Research.
- Munizaga, Marcela A. & Heydecker, Benjamin G. & Ortúzar, Juan de Dios, 2000. "Representation of heteroskedasticity in discrete choice models," Transportation Research Part B: Methodological, Elsevier, vol. 34(3), pages 219-240, April.
- Thomas Andrén & Daniela Andrén, 2013.
"State dependence in Swedish social assistance,"
Discussion Papers
19, Central European Labour Studies Institute (CELSI).
- Andrén, Daniela & Andrén, Thomas, 2013. "State dependence in Swedish social assistance," Working Papers 2013:7, Örebro University, School of Business.
- Arias, Carlos & Cox, Thomas L., 1999. "Maximum Simulated Likelihood: A Brief Introduction For Practitioners," Staff Papers 12662, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
- Andreas Ziegler, 2010. "Individual Characteristics and Stated Preferences for Alternative Energy Sources and Propulsion Technologies in Vehicles: A Discrete Choice Analysis," CER-ETH Economics working paper series 10/125, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- Inkmann, Joachim, 2000.
"Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators,"
Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
- Inkmann, Joachim, 1999. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," CoFE Discussion Papers 99/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Joachim Inkmann, 1999. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Finance 9904003, University Library of Munich, Germany.
- Liesenfeld, Roman & Richard, Jean-François, 2010. "Efficient estimation of probit models with correlated errors," Journal of Econometrics, Elsevier, vol. 156(2), pages 367-376, June.
- Heijnen, P. & Samarina, A.. & Jacobs, J.P.A.M. & Elhorst, J.P., 2013. "State transfers at different moments in time," Research Report 13006-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:68:y:2000:i:1:p:13-20. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.