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Monte Carlo methods in econometrics: a package for the stochastic simulation

Author

Listed:
  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Corsi, Paolo

Abstract

In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details, using as a sample the Klein model-l. To finish, the performances of the program are analyzed in terms of storage requirements and computation time.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Monte Carlo methods in econometrics: a package for the stochastic simulation," MPRA Paper 24538, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24538
    as

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    File URL: https://mpra.ub.uni-muenchen.de/24538/1/MPRA_paper_24538.pdf
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    References listed on IDEAS

    as
    1. Calzolari, Giorgio, 1974. "Interactive management for time series," MPRA Paper 22693, University Library of Munich, Germany, revised 1974.
    Full references (including those not matched with items on IDEAS)

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    1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1975. "DMS/2: un sistema per la soluzione e simulazione interattiva di modelli econometrici [DMS/2: a system for interactive solution and simulation of econometric models]," MPRA Paper 24881, University Library of Munich, Germany.
    2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Sartori, Franco & Specioso, Isidoro, 1974. "Aggiornamento del modello al 1974 e nuove simulazioni [Updating the model and new simulations for 1974]," MPRA Paper 22677, University Library of Munich, Germany, revised 1975.
    3. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "User defined functions and operators," MPRA Paper 23063, University Library of Munich, Germany, revised Sep 1976.

    More about this item

    Keywords

    Monte Carlo; econometric models; stochastic simulation;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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