Thanks. I will look at the documentation on the GHK hansl function. Would you please send (or post) the example script for the trivariate probit model?
I know Limdep also uses a GHK simulator for its MPROBIT algorithm.
However, the problem is that even a simple trivariate model can take
quite a while to estimate with Limdep's default of 100 pts (on the order
or 10-20 minutes for the N=750 test model I'm running). Is gretl's GHK simulator any faster, or are slow speeds just the nature of the GHK simulation? I think most of Genz's n>3 algorithms are simulation based also, but he has functions that estimate the special trivariate case much more quickly. I think if those were implemented, the special case of the trivariate probit would run much faster than using GHK. However, I'm sure someone must have
thought of this before, so I'm a little wary that I'm missing something.
Ironically, I don't *think* my problem is in the estimation of the trivariate normal cdf, which is what the GHK simulator is used for, correct? I think the issue is in something much "simpler," which is the correct formulation of the scores because I'm not getting the derivatives of the cdf correct.
It's not GHK related, but is there a way run to run a simple (two-level) FIML nested logit model in gretl?