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Monte Carlo methods in econometrics: a package for the stochastic simulation


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


In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details, using as a sample the Klein model-l. To finish, the performances of the program are analyzed in terms of storage requirements and computation time.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Monte Carlo methods in econometrics: a package for the stochastic simulation," MPRA Paper 24538, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:24538

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    References listed on IDEAS

    1. Calzolari, Giorgio, 1974. "Interactive management for time series," MPRA Paper 22693, University Library of Munich, Germany, revised 1974.
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    More about this item


    Monte Carlo; econometric models; stochastic simulation;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques


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