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Stochastic simulation: a package for Monte Carlo experiments on econometric models

Author

Listed:
  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Corsi, Paolo

Abstract

The stochastic simulation of an econometric model is an application of Monte Carlo methods. Deterministic simulation is performed setting error terms to zero. Stochastic simulation, on the contrary, takes into account the disturbance terms, solving the model after adding a vector of pseudo-random numbers drawn from a prespecified multivariate distribution.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "Stochastic simulation: a package for Monte Carlo experiments on econometric models," MPRA Paper 23073, University Library of Munich, Germany, revised Mar 1978.
  • Handle: RePEc:pra:mprapa:23073
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    File URL: https://mpra.ub.uni-muenchen.de/23073/1/MPRA_paper_23073.pdf
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    More about this item

    Keywords

    Stochastic simulation; econometric models; Monte Carlo methods;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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