A note on simulating unbiased heterogeneous expectations

A note on simulating unbiased heterogeneous expectations

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Article ID: iaor1996655
Country: United States
Volume: 30
Issue: 8
Start Page Number: 29
End Page Number: 32
Publication Date: Oct 1995
Journal: Computers & Mathematics with Applications
Authors: ,
Keywords: economics
Abstract:

Let equ1 be a set of independent, normal random variables where equ2 has expected value equ3, variance equ4, andequ5. In this note we show how to generate a vector of random variables, equ6, such that equ7, and equ8, for all i. This problem arises in the simulation of heterogeneous expectations in economic settings.

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