Stochastic simulation: a package for Monte Carlo experiments on econometric models
Carlo Bianchi (),
Giorgio Calzolari and
MPRA Paper from University Library of Munich, Germany
The stochastic simulation of an econometric model is an application of Monte Carlo methods. Deterministic simulation is performed setting error terms to zero. Stochastic simulation, on the contrary, takes into account the disturbance terms, solving the model after adding a vector of pseudo-random numbers drawn from a prespecified multivariate distribution.
Keywords: Stochastic simulation; econometric models; Monte Carlo methods (search for similar items in EconPapers)
JEL-codes: C63 C87 (search for similar items in EconPapers)
Date: 1978-03, Revised 1978-03
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Published in IBM Technical Disclosure Bulletin 10.20(1978): pp. 3972-3975
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23073
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