Stochastic simulation: a package for Monte Carlo experiments on econometric models
AbstractThe stochastic simulation of an econometric model is an application of Monte Carlo methods. Deterministic simulation is performed setting error terms to zero. Stochastic simulation, on the contrary, takes into account the disturbance terms, solving the model after adding a vector of pseudo-random numbers drawn from a prespecified multivariate distribution.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23073.
Date of creation: Mar 1978
Date of revision: Mar 1978
Publication status: Published in IBM Technical Disclosure Bulletin 10.20(1978): pp. 3972-3975
Stochastic simulation; econometric models; Monte Carlo methods;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
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