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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Geweke, John and Keane, Michael and Runkle, David (1994): Recursively Simulating Multinomial Multiperiod Probit Probabilities. Published in: Proceedings of the American Statistical Association No. Business and Economic Statistics Section (1994): pp. 1-6.
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; C25 - Discrete Regression and Qualitative Choice Models ; C63 - Computational Techniques
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015242016