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Computing the Distributions of Economic Models via Simulation

  • John Stachurski
  • Vance Martin

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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  1. Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
  2. Esteban Rossi-Hansberg & Mark L. J. Wright, 2006. "Establishment size dynamics in the aggregate economy," Staff Report 382, Federal Reserve Bank of Minneapolis.
  3. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
  4. Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Development Studies.
  5. Giorgio Valente & Lucio Sarno, 2004. "Comparing the accuracy of density forecasts from competing models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 541-557.
  6. Nishimura, Kazuo & Rudnicki, Ryszard & Stachurski, John, 2006. "Stochastic optimal growth with nonconvexities," Journal of Mathematical Economics, Elsevier, vol. 42(1), pages 74-96, February.
  7. Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.
  8. Johnson, Paul, 2003. "A Continuous State Space Approach to “Convergence by Parts”," Vassar College Department of Economics Working Paper Series 54, Vassar College Department of Economics.
  9. A. S. Hurn & K. A. Lindsay & V. L. Martin, 2003. "On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 45-63, 01.
  10. Hansen, Bruce E., 2005. "Exact Mean Integrated Squared Error Of Higher Order Kernel Estimators," Econometric Theory, Cambridge University Press, vol. 21(06), pages 1031-1057, December.
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