Monte Carlo methods in econometrics: a package for the stochastic simulation
Carlo Bianchi (),
Giorgio Calzolari and
MPRA Paper from University Library of Munich, Germany
In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details, using as a sample the Klein model-l. To finish, the performances of the program are analyzed in terms of storage requirements and computation time.
Keywords: Monte Carlo; econometric models; stochastic simulation (search for similar items in EconPapers)
JEL-codes: C53 C63 (search for similar items in EconPapers)
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Published in Paper presented at the Congres Europeen des Statisticiens. Universite Scientifique et Medicale de Grenoble, (1976): pp. 1-10
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:24538
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