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GRAN5: Gauss procedure to generate heteroskedastic normal random numbers

Carlos Urzúa

EGAP Computer Code from Tecnológico de Monterrey, Campus Ciudad de México

Abstract: Generation of heteroskedastic normal pseudo-random numbers using GAUSS (version 3.6 or later). Drawings from a Chi-square with nu degrees of freedom are done first. Standard normal random numbers are next generated, and then they are transformed to have variances equal to the values of the Chi-square deviates.

Language: GAUSS
Keywords: heteroskedastic normal distribution; heteroskedastic normal random numbers; pseudo-random numbers; variates; GAUSS (search for similar items in EconPapers)
JEL-codes: C15 C16 C87 (search for similar items in EconPapers)
Date: 2007-03
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