An efficient decomposition of the expectation of the maximum for the multivariate normal and related distributions

DOI10.1016/j.jeconom.2016.07.003zbMath1443.62443OpenAlexW2481355146MaRDI QIDQ311650

Jonathan Eggleston

Publication date: 13 September 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.07.003

zbMATH Keywords

Monte Carlo integrationmultivariate normaldynamic structural modelsemaxexpectation of the maximum

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20)

Uses Software

• KNITRO
• nwSpGr
• QSIMVN

Cites Work

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• Sample Selection Bias as a Specification Error
• A Computationally Practical Simulation Estimator for Panel Data
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS

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