MonteCarlo 蒙特卡洛方法.doc

UNIVERSITY OF COPENHAGEN DEPARTMENT OF ECONOMICS Example 2: Illustration of CLT Consider as an example zt ～ Uniform (0, 1 , It holds that E (zt V (zt = = 1 2 (1 ? 02 1 = . 12 12 √ T √ 12, t = 1, 2, ..., T . We look at the simulated distribution of √ T z ?μ σ = z? 1 2 based on M = 10000 replications. Monte Carlo Simulations — Slide 6 UNIVERSITY OF COPENHAGEN T=1 0.4 DEPARTMENT OF ECONOMICS T=2 0.30 Density 0.20 Density ?1.5 ?1.0 ?0.5 0.0 0.5 1.0 1.5 0.10 0.00 0.0 0.1 0.2 0.3 ?2 ?1 0 1 2 T=5 0.4 0.4 T = 100 0.3 Density Density ?3 ?2 ?1 0 1 2 3 4 0.2 0.1 0.0 0.0 ?4 0.1 0.2 0.3 ?2 0 2 Monte Carlo Simulations — Slide 7 UNIVERSITY OF COPENHAGEN DEPARTMENT OF ECONOMICS Example 3: Monte Carlo to Check Consistency Consider the following data generating processes: x1t ～ N (0, 1 x2t ～ N (0, 1 ρ = Corr (x1t , x2t b0 = 0 b1 = 1 b2 = 1 Case 1 2 3 4 5 Data Generating Process yt = b0 + b1 x1t + εt yt = b0 + b1 x1t + b2 x2t + εt yt = b0 + b1 x1t + b2 x2t + εt yt = b1 yt ?1 + εt yt = b1 yt ?1 + εt ρ = 0.0 ρ = 0.6 εt εt εt εt εt ～ N (0, 1 ～ N (0, 1 ～ N (0, 1 ～ N (0, 1 = 0.5εt ?1 + νt νt ～ N (0, 1 The model we estimate with OLS is always yt = β0 + β1 x1t + ut . Socrative question In which case(s can β1 be consistently estimated by OLS? Monte Carlo Simulations — Slide 8