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Computing the Distributions of Economic Models via Simulation
Author(s) -
Stachurski John,
Martin Vance
Publication year - 2008
Publication title -
econometrica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 16.7
H-Index - 199
eISSN - 1468-0262
pISSN - 0012-9682
DOI - 10.1111/j.1468-0262.2008.00839.x
Subject(s) - economic model , economics , econometrics , mathematical economics , computer science , macroeconomics
We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and O P ( n –1/2 ) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.

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