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Recursively Simulating Multinomial Multiperiod Probit Probabilities

Author

Listed:
  • Geweke, John
  • Keane, Michael
  • Runkle, David

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.

Suggested Citation

  • Geweke, John & Keane, Michael & Runkle, David, 1994. "Recursively Simulating Multinomial Multiperiod Probit Probabilities," MPRA Paper 55140, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:55140
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    File URL: https://mpra.ub.uni-muenchen.de/55140/1/MPRA_paper_55140.pdf
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    References listed on IDEAS

    as
    1. Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January.
    2. Geweke, John & Keane, Michael P & Runkle, David, 1994. "Alternative Computational Approaches to Inference in the Multinomial Probit Model," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 609-632, November.
    3. Borsch-Supan, Axel & Hajivassiliou, Vassilis A., 1993. "Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models," Journal of Econometrics, Elsevier, vol. 58(3), pages 347-368, August.
    4. Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Zhang, Xiao & Boscardin, W. John & Belin, Thomas R. & Wan, Xiaohai & He, Yulei & Zhang, Kui, 2015. "A Bayesian method for analyzing combinations of continuous, ordinal, and nominal categorical data with missing values," Journal of Multivariate Analysis, Elsevier, vol. 135(C), pages 43-58.
    2. Zhang, Xiao & Boscardin, W. John & Belin, Thomas R., 2008. "Bayesian analysis of multivariate nominal measures using multivariate multinomial probit models," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3697-3708, March.

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    More about this item

    Keywords

    GHK algorithm; smooth recursive conditioning simulator; panel probit model; simulation based inference;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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