Re: [Gretl-devel] Trivariate Probit
On Thu, 17 Jul 2014, David van Herick wrote:
Hello,
This is a "big" question, and I apologize in advance for the long message.
I'm new to this list, so I'm not sure if this is the right place to ask
about this.
[...]
It would be very nice to port Genz's code for the trivariate normal to
libgretl. However, we've already got GHK for that and more, since you can
use GHK for evaluating integrals of the multivariate normal in any (well,
sort of) number of dimensions. Sure, it's a simulation-based method;
however, there's a reason why it's become the "industry standard" in
microeconometrics: it's really really REALLY good.
As for the trivariate probit model, it's one of the examples I've been
using to test our GHK implementation, and I could send you an example
sample script if you want, or post it to the list if other people are
interested. For your project, I'd suggest you take a look at the
documentation for the GHK hansl function; even if you want to use C rather
than hansl for your project, the corresponding functions you'll find in
the C API are remarkably similar.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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