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.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Stochastic simulation; econometric models; Monte Carlo methods
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software

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