Computing the Distributions of Economic Models via Simulation
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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Volume (Year): 76 (2008)
Issue (Month): 2 (03)
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