Huguenin, Jacques; Pelgrin, Florian; Holly, Alberto - Institut d'Économie et de Management de la Santé … - 2009
In this paper, we develop a new numerical method to estimate a multivariate probit model. To this end, we derive a new decomposition of normal multivariate integrals that has two appealing properties. First, the decomposition may be written as the sum of normal multivariate integrals, in which...
