Abay, Kibrom A. - In: Economics Letters 126 (2015) C, pp. 51-56
This paper evaluates the performance of a recently emerging multivariate quadrature-based Sparse Grids Integration (SGI) and the well-known Geweke–Hajivassiliou–Keane (GHK) simulator in estimating multivariate binary probit models. Monte Carlo exercises demonstrate that in lower dimension...
