Monte Carlo methods in econometrics: a package for the stochastic simulation

Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo (1976): Monte Carlo methods in econometrics: a package for the stochastic simulation. Published in: Paper presented at the Congres Europeen des Statisticiens. Universite Scientifique et Medicale de Grenoble, (September 1976): pp. 1-10.

Abstract

In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details, using as a sample the Klein model-l. To finish, the performances of the program are analyzed in terms of storage requirements and computation time.

• Item Type: MPRA Paper
• Language: English
• Keywords: Monte Carlo; econometric models; stochastic simulation
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling

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