Sie befinden Sich nicht im Netzwerk der Universität Paderborn. Der Zugriff auf elektronische Ressourcen ist gegebenenfalls nur via VPN oder Shibboleth (DFN-AAI) möglich. mehr Informationen...
Accuracy of Simulations for Stochastic Dynamic Models
Ist Teil von
Econometrica, 2005-11, Vol.73 (6), p.1939-1976
Ort / Verlag
Oxford, UK and Boston, USA: Blackwell Publishing Ltd
Erscheinungsjahr
2005
Quelle
Alma/SFX Local Collection
Beschreibungen/Notizen
This paper is concerned with accuracy properties of simulations of approximate solutions for stochastic dynamic models. Our analysis rests upon a continuity property of invariant distributions and a generalized law of large numbers. We then show that the statistics generated by any sufficiently good numerical approximation are arbitrarily close to the set of expected values of the model's invariant distributions. Also, under a contractivity condition on the dynamics, we establish error bounds. These results are of further interest for the comparative study of stationary solutions and the estimation of structural dynamic models.