Computing the distributions of economic models via simulation

John Stachurski; Vance Martin

doi:10.1111/j.1468-0262.2008.00839.x

Computing the distributions of economic models via simulation

John Stachurski^*, Vance Martin

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-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 O_P(n^-1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.

Original language	English
Pages (from-to)	443-450
Number of pages	8
Journal	Econometrica
Volume	76
Issue number	2
DOIs	https://doi.org/10.1111/j.1468-0262.2008.00839.x
Publication status	Published - Mar 2008
Externally published	Yes

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10.1111/j.1468-0262.2008.00839.x

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title = "Computing the distributions of economic models via simulation",

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.",

keywords = "Ergodicity, Markov processes, Numerical methods, Simulation",

author = "John Stachurski and Vance Martin",

year = "2008",

month = mar,

doi = "10.1111/j.1468-0262.2008.00839.x",

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AU - Martin, Vance

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AB - 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.

KW - Ergodicity

KW - Markov processes

KW - Numerical methods

KW - Simulation

UR - https://www.scopus.com/pages/publications/39149121447

U2 - 10.1111/j.1468-0262.2008.00839.x

DO - 10.1111/j.1468-0262.2008.00839.x

M3 - Article

SN - 0012-9682

VL - 76

SP - 443

EP - 450

JO - Econometrica

JF - Econometrica

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ER -

Computing the distributions of economic models via simulation

Abstract

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