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Some uses of simulation in econometrics

Adrian Pagan ()

Mathematics and Computers in Simulation (MATCOM), 1999, vol. 48, issue 4, 341-349

Abstract: Simulation methods are now widely used in econometrics. The range of uses covers both the estimation of parameters in and the use of models. In this paper we discuss how simulation methods can be used to investigate some issues that have proven extremely difficult to handle analytically. Specifically, we consider how to measure the business cycle characteristics associated with macroeconomic models and how to estimate the parameters of a popular latent variables model.

Keywords: Simulation; Econometrics; Business cycle (search for similar items in EconPapers)
Date: 1999
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