|From||Hyeok Jeong <firstname.lastname@example.org>|
|Subject||st: Numerical integration using stata|
|Date||Fri, 12 Aug 2005 13:40:10 -0700|
I am trying to compute conditional expectation of a random variable X drawn, conditional on event E, defined on multivariate normal distribution for (X,Y,Z). In more specific, X, Y, and Z indicates error terms of three alternatives A_x, A_y, and A_z, respectively, and the event E defines when the option A_x is the best choice.
Is it possible to calculate this kind of conditional expectation with Stata (version 8 or 9) using numerical integration based on simulated data? (The number of alternatives should be more than or equal to three. In fact, I am considering a model with five alternatives.)
Any inputs will be appreciated.