st: Numerical integration using stata

[Hyeok Jeong <hjeong@usc.edu>]

Title: Numerical integration using stata

Dear Statalisters:

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.
Thank you!

Hyeok