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Generalized Look-Ahead Methods for Computing Stationary Densities

  • R. Anton Braun

    ()

  • Huiyu Li

    ()

  • John Stachurski

    ()

The look-ahead estimator is used to compute densities associated with Markov processes via simulation. We study a framework that extends the look-ahead estimator to a much broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L2 asymptotic normality are established.

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File URL: https://www.cbe.anu.edu.au/researchpapers/econ/wp558.pdf
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Paper provided by Australian National University, College of Business and Economics, School of Economics in its series ANU Working Papers in Economics and Econometrics with number 2011-558.

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Length: 22 Pages
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:acb:cbeeco:2011-558
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  1. Kamihigashi, Takashi, 2007. "Stochastic optimal growth with bounded or unbounded utility and with bounded or unbounded shocks," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 477-500, April.
  2. John Stachurski & University of Melbourne, 2006. "Computing the Distributions of Economic Models via Simulation," Computing in Economics and Finance 2006 185, Society for Computational Economics.
  3. 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.
  4. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400.
  5. Chen, Xiaohong & White, Halbert, 1998. "Central Limit And Functional Central Limit Theorems For Hilbert-Valued Dependent Heterogeneous Arrays With Applications," Econometric Theory, Cambridge University Press, vol. 14(02), pages 260-284, April.
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