Alternative specifications of the error process in the stochastic simulation of econometric models
分析了三种设定结构误差项概率分布的方法对计量经济模型随机模拟的偏差和方差的影响，并利用蒙特卡洛方差缩减技术区分不同设定的效果。
Abstract This paper analyses the stochastic simulation of econometric models using three different methods for specifying the probability distribution of the structural error terms. The impact of these different assumptions on the simulation bias and model variance is explored empirically. Monte Carlo variance reduction techniques are used to distinguish the effects of the different specifications.