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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: GHK algorithm; smooth recursive conditioning simulator; panel probit model; simulation based inference
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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