Recursively Simulating Multinomial Multiperiod Probit Probabilities

John Geweke, Michael Keane () and David Runkle

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: GHK algorithm; smooth recursive conditioning simulator; panel probit model; simulation based inference (search for similar items in EconPapers)
JEL-codes: C15 C23 C25 C63 (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (2)

Published in Proceedings of the American Statistical Association Business and Economic Statistics Section (1994): pp. 1-6

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:55140

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