Accuracy of simulations for stochastic dynamic models

Manuel S. Santos and Adrián Peralta Alva
Authors registered in the RePEc Author Service: Adrian Peralta-Alva (aperaltaalva@gmail.com)

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: This paper provides a general framework for the simulation of stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large numbers. We then establish that the simulated moments from numerical approximations converge to their exact values as the approximation errors of the computed solutions converge to zero. These asymptotic results are of further interest in the comparative study of dynamic solutions, model estimation, and derivation of error bounds for the simulated moments.

Date: 2003-10
New Economics Papers: this item is included in nep-cmp, nep-dge and nep-ecm
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Citations: View citations in EconPapers (16)

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Related works:
Journal Article: Accuracy of Simulations for Stochastic Dynamic Models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:we034615

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