Computing the Distributions of Economic Models via Simulation

John Stachurski () and Vance Martin

Econometrica, 2008, vol. 76, issue 2, 443-450

Abstract: 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(n^(1/2)) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation. Copyright The Econometric Society 2008.

Date: 2008
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Related works:
Working Paper: Computing the Distributions of Economic Models Via Simulation (2006)
Working Paper: Computing the Distributions of Economic Models via Simulation (2006)
Working Paper: Computing the Distributions of Economic Models Via Simulation (2005)
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