PcNaive
PcNaive is package that comes with PcGive 11 for designing Monte Carlo experiments of dynamic econometric models. There is a set of interactive dialogs in which the data generation process (DGP) and model are formulated, and the statistics of interest are selected. PcNaive then generates and runs an Ox program. The output appears in OxMetrics and can include:
- theoretical analysis of the DGP,
- live graphical output as the experiment progresses,
- numerical output of final results.
PcNaive comes with a 200 page book, containing extensive tutorials introducing Monte Carlo analysis, and showing how the program can be used. A separate part discusses how PcNaive can be used in teaching econometrics, starting from the elementary through intermediate and finally advanced econometrics. The book concludes with a comprehensive introduction to the theory of Monte Carlo analysis, including asymptotic analysis and response surfaces. Many econometric examples are used throughout, and the book covers important material which is often missing from standard text books.