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Erschienen in:
1994 | OriginalPaper | Buchkapitel
Monte Carlo Experimentation for Large Scale Forward-Looking Economic Models
verfasst von : Raouf Boucekkine
Erschienen in: Predictability and Nonlinear Modelling in Natural Sciences and Economics
Verlag: Springer Netherlands
Enthalten in: Professional Book Archive
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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.