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

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.

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Year of publication:	1976
Authors:	Bianchi, Carlo ; Calzolari, Giorgio ; Corsi, Paolo
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Monte Carlo \| econometric models \| stochastic simulation

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C53 - Forecasting and Other Model Applications ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008534538