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Econometrica Vol. 76 No. 2 2008

Computing the Distributions of Economic Models via Simulation

John Stachurski1; Vance L. Martin2,3

1 Kyoto University · 2 Conference Board · 3 The University of Melbourne

Abstract

We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and OP(n–1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.

DOI
10.1111/j.0012-9682.2008.00839.x
Volume
76
Issue
2
Pages
443-450
Language
en
Sources
openalex crossref

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