Computing the distributions of economic models via simulation

Econometrica

Volumn 76, Issue 2, 2008, Pages 443-450

  Stachurski, John ^a   Martin, Vance ^b  

^a KYOTO UNIVERSITY   (Japan)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Ergodicity; Markov processes; Numerical methods; Simulation

Indexed keywords

EID: 39149121447     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2008.00839.x     Document Type: Article

References (6)

1. Bosq, D. (2000 Linear Processes in Function Space. New York : Springer-Verlag.
2. Glynn, P. W., and S. G. Henderson (2001 Computing Densities for Markov Chains via Simulation Mathematics of Operations Research, 26, 375 400.
3. Kristensen, D. (2006 Geometric Ergodicity of a Class of Markov Chains with Applications to Time Series Models Mimeo, University of Wisconsin.
4. Meyn, S. P., and R. L. Tweedie (1993 Markov Chains and Stochastic Stability. London : Springer-Verlag.
5. Stachurski, J. (2006 A Hilbert Space Central Limit Theorem for Geometrically Ergodic Markov Chains Mimeo, Kyoto University.
6. Yakowitz, S. J. (1985 Nonparametric Density Estimation, Prediction and Regression for Markov Sequences Journal of the American Statistical Association, 80, 215 221.