Computing the distributions of economic models via simulation

John Stachurski, Vance Martin

Econometrica: journal of the Econometric Society | BLACKWELL PUBLISHING | Published : 2008


We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and OP(n-1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation. © The Econometric Society 2008.

University of Melbourne Researchers