nep-ict New Economics Papers
on Information and Communication Technologies
Issue of 2006‒04‒29
one paper chosen by
Walter Frisch
University Vienna

  1. Computing the Distributions of Economic Models Via Simulation By John Stachurski

  1. By: John Stachurski (Department of Economics, University of Melbourne)
    Abstract: This paper studies a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov process. It is shown that the L1 error of the estimator always converges to zero with probability one, and often at a parametric rate. A related technique for computing stationary distributions is also investigated.
    Keywords: Distributions, Markov processes, simulation.
    JEL: C15 C22 C63
    Date: 2006–04

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