Computing the Distributions of Economic Models via Simulation

John Stachurski () and University of Melbourne

No 185, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: This paper studies a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov process. It is shown that the $L_1$ error of the estimator always converges to zero with probability one, and often at a parametric rate. A related technique for computing stationary distributions is also investigate

Keywords: Distributions; Markov processes; simulation (search for similar items in EconPapers)
JEL-codes: C15 C22 C63 (search for similar items in EconPapers)
Date: 2006-07-04
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Related works:
Journal Article: Computing the Distributions of Economic Models via Simulation (2008)
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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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:185

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