Stochastic simulation: a package for Monte Carlo experiments on econometric models

The stochastic simulation of an econometric model is an application of Monte Carlo methods. Deterministic simulation is performed setting error terms to zero. Stochastic simulation, on the contrary, takes into account the disturbance terms, solving the model after adding a vector of pseudo-random numbers drawn from a prespecified multivariate distribution.

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Year of publication:	1978-03
Authors:	Bianchi, Carlo ; Calzolari, Giorgio ; Corsi, Paolo
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Stochastic simulation \| econometric models \| Monte Carlo methods

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in IBM Technical Disclosure Bulletin 10.20(1978): pp. 3972-3975
Classification:	C63 - Computational Techniques ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008587844