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Numerical Aspects of Multivariate Normal Probabilities in Econometric Models

In: Annals of Economic and Social Measurement, Volume 5, number 4

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  • J. E. Dutt

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  • J. E. Dutt, 1976. "Numerical Aspects of Multivariate Normal Probabilities in Econometric Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 547-561, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:10495
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    References listed on IDEAS

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    1. James Tobin, 1955. "The Application of Multivariate Probit Analysis to Economic Survey Data," Cowles Foundation Discussion Papers 1, Cowles Foundation for Research in Economics, Yale University.
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    Cited by:

    1. 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.
    2. Vassilis A. Hajivassiliou, 1991. "Simulation Estimation Methods for Limited Dependent Variable Models," Cowles Foundation Discussion Papers 1007, Cowles Foundation for Research in Economics, Yale University.
    3. 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.
    4. Vassilis Argyrou Hajivassiliou, 1993. "Simulating Normal Rectangle Probabilities and Their Derivatives: The Effects of Vectorization," Working Papers _025, Yale University.
    5. Moffitt, L. Joe & Farnsworth, Richard L. & Zavaleta, Luis R. & Kogan, Marcos, 1982. "Farm Efficiency and Insect Infestation Forecasts: The Case of Soybeans in Illinois," Staff Reports 316800, United States Department of Agriculture, Economic Research Service.
    6. Daniel L. McFadden, 1976. "Quantal Choice Analysis: A Survey," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 363-390, National Bureau of Economic Research, Inc.
    7. Vassilis A. Hajivassiliou & Daniel McFadden & Paul A. Ruud, 1994. "Simulation of Multivariate Normal Rectangle Probabilities: Theoretical and Computational Results," Cowles Foundation Discussion Papers 1021R, Cowles Foundation for Research in Economics, Yale University.

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