Computing the Distributions of Economic Models via Simulation
AuthorStachurski, J; Martin, V
Source TitleEconometrica: journal of the Econometric Society
University of Melbourne Author/sMartin, Vance
Document TypeJournal Article
CitationsStachurski, J. & Martin, V. (2008). Computing the Distributions of Economic Models via Simulation. Econometrica: journal of the Econometric Society, 76 (2), pp.443-450. https://doi.org/10.1111/j.1468-0262.2008.00839.x.
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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.
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