Econometrica, 2005-11, Vol.73 (6), p.1939-1976
2005
Details
- Autor(en) / Beteiligte
- Titel
- 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
- Link zum Volltext
- Quelle
- Wiley Blackwell Single Titles
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0012-9682eISSN: 1468-0262DOI: 10.1111/j.1468-0262.2005.00642.xTitel-ID: cdi_proquest_miscellaneous_38200025
- Format
- –
- Schlagworte
- Analysis, Applications, Approximation, approximation error, convergence, Distribution, Dynamic modeling, Dynamic models, Econometric models, Econometrics, Economic models, Economic theory, Ergodic theory, Error, Error bounds, Exact sciences and technology, Global analysis, analysis on manifolds, Insurance, economics, finance, invariant distribution, Law of large numbers, Limit theorems, Mathematical methods, Mathematical moments, Mathematics, Methodology, Modeling, numerical solution, Probability and statistics, Probability theory and stochastic processes, Sciences and techniques of general use, simulated moments, Simulation, Simulations, Statistics, Stochastic dynamic model, Stochastic models, Studies, Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds