Recursively Simulating Multinomial Multiperiod Probit Probabilities

We describe how to recursively simulate choice probabilities in the multiperiod multinomial probit model using the GHK algorithm. We also provide GAUSS code to implement the method.

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Year of publication:	1994
Authors:	Geweke, John ; Keane, Michael ; Runkle, David
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	GHK algorithm \| smooth recursive conditioning simulator \| panel probit model \| simulation based inference

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; C25 - Discrete Regression and Qualitative Choice Models ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011113345