Computing Densities: A Conditional Monte Carlo Estimator
We propose a generalized conditional Monte Carlo technique for computing densities in economic models. Global consistency and functional asymptotic normality are established under ergodicity assumptions on the simulated process. The asymptotic normality result allows us to characterize the asymptotic distribution of the error in density space, and implies faster convergence than nonparametric kernel density estimators. We show that our results nest several other well-known density estimators, and illustrate potential applications.
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| Length: | 25 pages |
| Date of creation: | Oct 2009 |
| Handle: | RePEc:cfi:fseres:cf181 |
| Contact details of provider: | Postal: Hongo 7-3-1, Bunkyo-ku, Tokyo 113-0033 Phone: +81-3-5841-0682 Web page: http://www.carf.e.u-tokyo.ac.jp/english/ Email: More information through EDIRC
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References listed on IDEAS
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- John Stachurski & Vance Martin, 2008.
"Computing the Distributions of Economic Models via Simulation,"
Econometrica,
Econometric Society, vol. 76(2), pages 443-450, 03.
- John Stachurski, 2005. "Computing the Distributions of Economic Models Via Simulation," Department of Economics - Working Papers Series 949, The University of Melbourne.
- 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.
- John Stachurski, 2006. "Computing the Distributions of Economic Models Via Simulation," KIER Working Papers 615, Kyoto University, Institute of Economic Research.
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- S. Rao Aiyagari, 1993. "Uninsured idiosyncratic risk and aggregate saving," Working Papers 502, Federal Reserve Bank of Minneapolis.
- Durham, Garland B & Gallant, A Ronald, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 297-316, July.
- 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.
- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
- Lars Peter Hansen & Thomas J. Sargent, 2007. "Introduction to Robustness," Introductory Chapters,in: Robustness Princeton University Press. Full references (including those not matched with items on IDEAS)
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