The GHK algorithm (Geweke, Hajivassiliou and Keane) is an importance sampling method for simulating choice probabilities in the multivariate probit model. These simulated probabilities can be used to recover parameter estimates from the maximized likelihood equation using any one of the usual well known maximization methods (Newton's method, BFGS, etc.). Train has well documented steps for implementing this algorithm for a multinomial probit model. What follows here will applies to the bina Consi...