Computing the Distributions of Economic Models via Simulation

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    Author
    Stachurski, J; Martin, V
    Date
    2008-03-18
    Source Title
    Econometrica: journal of the Econometric Society
    Publisher
    Econometric Society
    University of Melbourne Author/s
    Martin, Vance
    Affiliation
    Economics
    Metadata
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    Document Type
    Journal Article
    Citations
    Stachurski, 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.
    Access Status
    This item is currently not available from this repository
    URI
    http://hdl.handle.net/11343/29472
    DOI
    10.1111/j.1468-0262.2008.00839.x
    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.
    Keywords
    Economic Theory

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