Munich Personal RePEc Archive

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

Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo (1978): Stochastic simulation: a package for Monte Carlo experiments on econometric models. Published in: IBM Technical Disclosure Bulletin , Vol. 20, No. 10 (March 1978): pp. 3972-3975.

[img]
Preview
PDF
MPRA_paper_23073.pdf

Download (548kB) | Preview

Abstract

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.