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Recursively Simulating Multinomial Multiperiod Probit Probabilities

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.


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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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