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README.rst

Computing the Distributions of Economic Models via Simulation

This page collects files and computer code for the paper Computing the Distributions of Economic Models via Simulation by John Stachurski and Vance Martin.

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 O_P(n^{-1/2}) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.

Publication Details

Computing the Distributions of Economic Models via Simulation
John Stachurski and Vance Martin
Econometrica, 76 (2), 443--450, 2008

Code

File lae.py is an illustrative Python program.

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