Monte Carlo simulation is an essential tool that econometricians use a great deal. For an introduction to some aspects of Monte Carlo simulation, see my earlier posts here, here, and here. There are some follow-up posts on this coming up soon.
In the meantime, I was delighted to learn recently about an outstanding book on this topic by Jan Kiviet. The book is titled, Monte Carlo Simulation for Econometricians, and I strongly recommend it.
Of course, Jan's work will be familiar to many readers of this blog, and this book more than lives up to our expectations, given the author's excellent reputation.
Jan uses EViews to illustrate the various issues that are discussed in his book, making the material very accessible to students and researchers alike.
Jan uses EViews to illustrate the various issues that are discussed in his book, making the material very accessible to students and researchers alike.
This is a really nice contribution!