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Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?

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  • Edgerton, David L.

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  • Edgerton, David L., 1996. "Should stochastic or non-stochastic exogenous variables be used in Monte Carlo experiments?," Economics Letters, Elsevier, vol. 53(2), pages 153-159, November.
    • Handle: RePEc:eee:ecolet:v:53:y:1996:i:2:p:153-159
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    References listed on IDEAS

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    1. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
    2. Robert F. Engle & David F. Hendry & David Trumble, 1985. "Small-Sample Properties of ARCH Estimators and Tests," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 66-93, February.
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    Cited by:

    1. Kiviet, Jan F. & Niemczyk, Jerzy, 2012. "Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3567-3586.
    2. Peter S. Karlsson & Lars Behrenz & Ghazi Shukur, 2019. "Performances of Model Selection Criteria When Variables are Ill Conditioned," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 77-98, June.

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