Summary
In this paper, a Monte Carlo experimentation scheme is developed for rational expectations large scale models with a special attention to the theoretical foundations of the underlying deterministic algorithm and to the a posteriori statistical validation of the experimentation. The base-deterministic algorithm is of the Newton-Raphson type. The Monte Carlo experimentation uses a perfect foresight approximation and then, requires a posteriori validation. Numerical exercises are proposed in order to show clearly the adequacy of our methodology, by evaluating either its purely numerical bias or the goodness of its perfect foresight approximation, on a canonical growth model.
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© 1994 Springer Science+Business Media Dordrecht
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Boucekkine, R. (1994). Monte Carlo Experimentation for Large Scale Forward-Looking Economic Models. In: Grasman, J., van Straten, G. (eds) Predictability and Nonlinear Modelling in Natural Sciences and Economics. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-0962-8_51
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DOI: https://doi.org/10.1007/978-94-011-0962-8_51
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-4416-5
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