Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models.

This paper analyzes the stochastic simulation of econometric models using three different methods for specifying the probability distribution of the structural error terms. The impact of these different assumptions on the simulation bias and model variance is explored empirically. Monte Carlo variance reduction techniques are used to distinguish the effects of the different specifications. Copyright 1990 by John Wiley & Sons, Ltd.

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Year of publication:	1990
Authors:	Sterbenz, Frederic P ; Calzolari, Giorgio
Published in:	Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 5.1990, 2, p. 137-50
Publisher:	John Wiley & Sons, Ltd.

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005247801