Multivariate normal distribution

[rdwest]

Hi,

Does EViews have a method for taking random draws from the multivariate normal distribution, for a given set of point estimates and a variance-covariance matrix? I'm looking for something equivalent to the multivariate random number generator in R (http://rss.acs.unt.edu/Rdoc/library/MSB ... tnorm.html).

Thanks!
Rachel

[startz]

Nope.

In version 7 you can link to R and generate the random numbers there.

[EViews Gareth]

http://forums.eviews.com/viewtopic.php? ... 74&p=14800

[startz]

Which is why it's good to listen to Gareth...

[rdwest]

Thanks very much, both of you.

I did happen upon the post referenced above, but wondered whether EViews's functionality had been updated since then (the post's a year old). My concern is that I'm not sophisticated enough as a statistician to verify the program offered....

Interesting to know that linking to R is possible -- I could see that coming in quite handy in other ways.

Any plans to build MVNRN generation into the next version?

Thanks again,
R.