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GRAN5: Gauss procedure to generate heteroskedastic normal random numbers

Author

Listed:
  • Urzúa, Carlos M.

    () (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

Generation of heteroskedastic normal pseudo-random numbers using GAUSS (version 3.6 or later). Drawings from a Chi-square with nu degrees of freedom are done first. Standard normal random numbers are next generated, and then they are transformed to have variances equal to the values of the Chi-square deviates.

Suggested Citation

  • Urzúa, Carlos M., 2007. "GRAN5: Gauss procedure to generate heteroskedastic normal random numbers," EGAP Computer Code 2007-06, Tecnológico de Monterrey, Campus Ciudad de México.
  • Handle: RePEc:ega:comcod:200706
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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/CC-2007-06.txt
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    Cited by:

    1. repec:kap:jfamec:v:38:y:2017:i:4:d:10.1007_s10834-017-9523-x is not listed on IDEAS

    More about this item

    Keywords

    heteroskedastic normal distribution; heteroskedastic normal random numbers; pseudo-random numbers; variates; GAUSS;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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