Computing the Distributions of Economic Models Via Simulation
AbstractThis paper studies a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov process. It is shown that the L1 error of the estimator always converges to zero with probability one, and often at a parametric rate. A related technique for computing stationary distributions is also investigated.
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Bibliographic InfoPaper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 615.
Date of creation: Apr 2006
Date of revision:
Contact details of provider:
Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501
Web page: http://www.kier.kyoto-u.ac.jp/eng/index.html
More information through EDIRC
Distributions; Markov processes; simulation.;
Other versions of this item:
- John Stachurski & Vance Martin, 2008. "Computing the Distributions of Economic Models via Simulation," Econometrica, Econometric Society, vol. 76(2), pages 443-450, 03.
- John Stachurski & University of Melbourne, 2006. "Computing the Distributions of Economic Models via Simulation," Computing in Economics and Finance 2006 185, Society for Computational Economics.
- John Stachurski, 2005. "Computing the Distributions of Economic Models Via Simulation," Department of Economics - Working Papers Series 949, The University of Melbourne.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-29 (All new papers)
- NEP-CBA-2006-04-29 (Central Banking)
- NEP-CMP-2006-04-29 (Computational Economics)
- NEP-ECM-2006-04-29 (Econometrics)
- NEP-ICT-2006-04-29 (Information & Communication Technologies)
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