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MVTNORM: Stata module to work with the multivariate normal and multivariate t distributions, with and without variable truncation

Author

Listed:
  • Michael J. Grayling

    (Cambridge University)

  • Adrian Mander

Programming Language

Stata

Abstract

A set of commands that allows users to evaluate different distributional quantities of the multivariate normal distribution, and a particular type of non-central multivariate t distribution. Specifically, their probability density functions, distribution functions, equicoordinate quantiles, and pseudo-random vectors can be computed, either in the absence or presence of variable truncation. The commands are written in a combination of Stata and Mata for speed. In addition, a set of corresponding Mata functions is provided.

Suggested Citation

  • Michael J. Grayling & Adrian Mander, 2015. "MVTNORM: Stata module to work with the multivariate normal and multivariate t distributions, with and without variable truncation," Statistical Software Components S458043, Boston College Department of Economics, revised 24 Dec 2021.
    • Handle: RePEc:boc:bocode:s458043
    Note: This module should be installed from within Stata by typing "ssc install mvtnorm". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/m/mvnormalden.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mvnormalden.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/invmvnormal.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/invmvnormal.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/invmvt.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/invmvt.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/invtmvnormal.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/invtmvnormal.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/invtmvt.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/i/invtmvt.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mvt.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mvt.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mvtden.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mvtden.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pmvnormal.ado
    File Function: program code
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    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rmvnormal.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rmvnormal.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rmvt.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rmvt.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rtmvnormal.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rtmvnormal.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rtmvt.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/rtmvt.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tmvnormal.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tmvnormal.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tmvnormalden.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tmvt.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tmvt.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tmvtden.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tmvtden.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mvtnorm_mata_functions.do
    File Function: Mata code
    Download Restriction: no
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    Citations

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    Cited by:

    1. Andreas Dzemski & Ryo Okui, 2024. "Confidence set for group membership," Quantitative Economics, Econometric Society, vol. 15(2), pages 245-277, May.
    2. Dzemski, Andreas & Okui, Ryo, 2018. "Confidence Set for Group Membership," Working Papers in Economics 727, University of Gothenburg, Department of Economics.

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