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Computing the Distributions of Economic Models via Simulation

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Author Info
John Stachurski
Vance Martin
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(n^(1/2)) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation. Copyright The Econometric Society 2008.

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File URL: http://hdl.handle.net/10.1111/j.0012-9682.2008.00839.x
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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 76 (2008)
Issue (Month): 2 (03)
Pages: 443-450
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Handle: RePEc:ecm:emetrp:v:76:y:2008:i:2:p:443-450

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This page was last updated on 2008-8-11.

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