We propose a generalized look-ahead estimator for computing densities and expectations in economic models. We provide conditions under which the estimator converges globally with probability one, and exhibit the asymptotic distribution of the error. Our estimator is more efficient than other...

We propose a generalized conditional Monte Carlo technique for computing densities in economic models. Global consistency and functional asymptotic normality are established under ergodicity assumptions on the simulated process. The asymptotic normality result allows us to characterize the...