Some uses of simulation in econometrics

Adrian Pagan

doi:10.1016/S0378-4754(99)00013-0

Some uses of simulation in econometrics

Adrian Pagan^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

Simulation methods are now widely used in econometrics. The range of uses covers both the estimation of parameters in and the use of models. In this paper we discuss how simulation methods can be used to investigate some issues that have proven extremely difficult to handle analytically. Specifically, we consider how to measure the business cycle characteristics associated with macroeconomic models and how to estimate the parameters of a popular latent variables model.

Original language	English
Pages (from-to)	341-349
Number of pages	9
Journal	Mathematics and Computers in Simulation
Volume	48
Issue number	4-6
DOIs	https://doi.org/10.1016/S0378-4754(99)00013-0
Publication status	Published - Jun 1999

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title = "Some uses of simulation in econometrics",

abstract = "Simulation methods are now widely used in econometrics. The range of uses covers both the estimation of parameters in and the use of models. In this paper we discuss how simulation methods can be used to investigate some issues that have proven extremely difficult to handle analytically. Specifically, we consider how to measure the business cycle characteristics associated with macroeconomic models and how to estimate the parameters of a popular latent variables model.",

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author = "Adrian Pagan",

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AB - Simulation methods are now widely used in econometrics. The range of uses covers both the estimation of parameters in and the use of models. In this paper we discuss how simulation methods can be used to investigate some issues that have proven extremely difficult to handle analytically. Specifically, we consider how to measure the business cycle characteristics associated with macroeconomic models and how to estimate the parameters of a popular latent variables model.

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KW - Econometrics

KW - Simulation

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DO - 10.1016/S0378-4754(99)00013-0

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VL - 48

SP - 341

EP - 349

JO - Mathematics and Computers in Simulation

JF - Mathematics and Computers in Simulation

IS - 4-6

ER -

Some uses of simulation in econometrics

Abstract

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