John Geweke, Michael P. Keane, David E. Runkle
Abstract
Open-access reader
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.
OpenAlex reports 2 citations for this work. Citation counts describe recorded attention and do not establish research quality.
A contribution statement is not available in the OpenAlex record.
Method details are not available in the OpenAlex metadata.
Findings are not separately available in the OpenAlex metadata.
Limitations are not available in the OpenAlex metadata.
Application details are not available in the OpenAlex metadata.
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.
Key concepts: Multinomial probit, Multinomial distribution, Econometrics, Probit, Probit model, Multivariate probit model, Economics, Ordered probit