Economics - Research Publications

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    Computing the Distributions of Economic Models via Simulation
    Stachurski, J ; Martin, V (Econometric Society, 2008-03-18)
    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.