Computing the distributions of economic models via simulation

John Stachurski*, Vance Martin

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and OP(n-1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.

Original languageEnglish
Pages (from-to)443-450
Number of pages8
JournalEconometrica
Volume76
Issue number2
DOIs
Publication statusPublished - Mar 2008
Externally publishedYes

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