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GRAN5: Gauss procedure to generate heteroskedastic normal random numbers

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Author Info
Urzúa, Carlos M. () (Tecnológico de Monterrey, Campus Ciudad de México)

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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.

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File URL: http://alejandria.ccm.itesm.mx/egap/documentos/CC-2007-06.src
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Publisher Info
Software component provided by Tecnológico de Monterrey, Campus Ciudad de México in its series EGAP Computer Code with number 2007-06.

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Programming language: GAUSS
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Date of creation: Mar 2007
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Handle: RePEc:ega:comcod:200706

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Web page: http://www.ccm.itesm.mx/egap/
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Related research
Keywords: heteroskedastic normal distribution heteroskedastic normal random numbers pseudorandom numbers variates GAUSS

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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