monte carlo program
Posted: Wed Nov 06, 2013 6:15 am
Hi guys, I need a monte carlo program to run a regression:
y(t)=x+e(t)
where x are random numbers from a normal distribution of a given mean and standard deviation (i.e. 0 and 16), and t is the number of months. So i should run the regression t times for every i (with i=1,2,...,n), save mean and standard deviation of yi, and then re-run the model n times.
Then I need to store the "simulated" means and standand deviations of yi.
Sorry I have never used monte carlo simulations, I hope I have explained myself well :)
Thanks
y(t)=x+e(t)
where x are random numbers from a normal distribution of a given mean and standard deviation (i.e. 0 and 16), and t is the number of months. So i should run the regression t times for every i (with i=1,2,...,n), save mean and standard deviation of yi, and then re-run the model n times.
Then I need to store the "simulated" means and standand deviations of yi.
Sorry I have never used monte carlo simulations, I hope I have explained myself well :)
Thanks