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Cited by 54

The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.

Monte Carlo evaluation of multivariate normal probabilities

Vijverberg, Wim P.M.·1997·Journal of Econometrics
DOI 10.1016/0304-4076(95)01792-5
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Research works printed but not linked: 26

  1. Albert, 1993, Bayesian analysis of binary and polychotomous response data, Journal of the American Statistical Association, 88, 669, 10.2307/2290350 · DOI
  2. Börsch-Supan, 1993, Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models, Journal of Econometrics, 58, 347, 10.1016/0304-4076(93)90049-B · DOI
  3. Case, 1992, Neighborhood influence and technological change, Regional Science and Urban Economics, 22, 491, 10.1016/0166-0462(92)90041-X · DOI · Paper page
  4. Case, 1993, Interstate tax competition after TRA86, Journal of Policy Analysis and Management, 12, 136, 10.2307/3325468 · doi:10.2307/3325468
  5. Chib, 1992, Bayes inference in the tobit censored regression model, Journal of Econometrics, 51, 79, 10.1016/0304-4076(92)90030-U · DOI · Paper page
  6. Deák, 1980, Three digit accurate multiple normal probabilities, Numerische Mathematik, 35, 369, 10.1007/BF01399006 · doi:10.1007/bf01399006
  7. Evans, 1988, Monte Carlo computation of some multivariate normal probabilities, Journal of Statistical Computation and Simulation, 31, 117, 10.1080/00949658808811088 · doi:10.1080/00949658808811088
  8. Geweke, 1988, Antithetic acceletion of Monte Carlo integration in Bayesian inference, Journal of Econometrics, 38, 73, 10.1016/0304-4076(88)90027-9 · DOI · Paper page
  9. Geweke, 1989, Bayesian inference in econometric models using Monte Carlo integration, Econometrica, 57, 1317, 10.2307/1913710 · DOI · Paper page
  10. Gupta, 1963, Bibliography of the multivariate normal integrals and related topics, Annals of Mathematical Statistics, 34, 829, 10.1214/aoms/1177704005 · DOI
  11. Hajivassiliou, 1993, Simulation estimation methods for limited dependent variable models, 10.1016/S0169-7161(05)80054-9 · DOI
  12. Hajivassiliou, V.A., D. McFadden, and P.A. Ruud, forthcoming, Simulation of multivariate normal orthant probabilities: Theoretical and computational results, Journal of Econometrics.
  13. Horowitz, 1982, An investigation of the accuracy of the Clark approximation for the multinomial probit model, Transportation Science, 16, 59, 10.1287/trsc.16.3.382 · DOI
  14. Keane, 1993, Simulation estimation for panel data models with limited dependent variables, 10.1016/S0169-7161(05)80055-0 · DOI
  15. Keane, 1994, A computationally practical simulation estimator for panel data, Econometrica, 62, 95, 10.2307/2951477 · DOI · Paper page
  16. 1985, Vol. 6
  17. Kloek, 1978, Bayesian estimates of equation system parameters: An application of integration by Monte Carlo, Econometrica, 46, 1, 10.2307/1913641 · doi:10.2307/1913641
  18. McFadden, 1989, A method of simulated moments for estimation of discrete response models without numerical integration, Econometrica, 57, 995, 10.2307/1913621 · DOI · Paper page
  19. Moran, 1984, The Monte Carlo evaluation of orthant probabilities for multivariate normal disturbutions, Australian Journal of Statistics, 26, 39, 10.1111/j.1467-842X.1984.tb01266.x · DOI
  20. Pakes, 1989, Simulation and the asymptotics of optimization estimators, Econometrica, 57, 1027, 10.2307/1913622 · DOI · Paper page
  21. Poirer, 1988, Probit with dependent observations, Review of Economic Studies, 55, 593, 10.2307/2297407 · doi:10.2307/2297407
  22. Prescott, 1974, Normalizing transformations of Student's t distribution, Biometrika, 61, 177, 10.1093/biomet/61.1.177 · doi:10.1093/biomet/61.1.177
  23. Stern, 1992, A method for smoothing simulated moments of discrete probabilities in multinomial probit models, Econometrica, 60, 943, 10.2307/2951573 · DOI
  24. Van Dijk, 1985, Posterior moments computed by mixed integration, Journal of Econometrics, 29, 3, 10.1016/0304-4076(85)90030-2 · DOI
  25. Wallace, 1959, Bounds on normal approximations to Student's and the chi-square distributions, Annals of Mathematical Statistics, 30, 1121, 10.1214/aoms/1177706095 · doi:10.1214/aoms/1177706095
  26. Zellner, 1984, Bayesian analysis of dichotomous quantal response models, Journal of Econometrics, 25, 365, 10.1016/0304-4076(84)90007-1 · DOI · Paper page

Cited by

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Metadata

Authors
Vijverberg, W. P. M.
Venue
Journal of Econometrics
Publisher
Elsevier BV
Published
1997-01
Volume
76
Issue
1-2
Pages
281-307
ISSN
0304-4076
DOI
10.1016/0304-4076(95)01792-5
Cited by
54
References
2
Language
en
Licence
www.elsevier.com/tdm/userlicense/1.0/ (tdm)

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CoChat. (2026). Citation check: Monte Carlo evaluation of multivariate normal probabilities. https://app.cochat.ai/papers/10.1016/0304-4076(95)01792-5
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Vijverberg, W. P. M. (1997). Monte Carlo evaluation of multivariate normal probabilities. Journal of Econometrics. https://doi.org/10.1016/0304-4076(95)01792-5

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.