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Comment on "A Monte Carlo filtering application for systematic sensitivity analysis of computable general equilibrium results"

Author

Listed:
  • Davit Stepanyan

    (Humboldt University of Berlin)

  • Harald Grethe

    (Humboldt University of Berlin)

  • Khalid Siddig

    (Humboldt University of Berlin)

Abstract

In a recent article published in the Journal of Economic Systems Research, Mary et al. (2018) introduced an interesting approach to systematic sensitivity analysis applied in a Computable General Equilibrium (CGE) modelling framework. This approach offers a systematic method of identifying the model parameters that have the greatest impact on the uncertainty of model output. According to the authors, moreover, it increases the quality of the approximated results by decreasing the dimensionality of the problem. This article contributes to a recent set of studies discussing the accuracy and appropriateness of different uncertainty analysis methods in economic simulation models. While the focus of the article is on a more efficient way of sensitivity analysis, we see a problem in using an arbitrary rotation of Stroud`s octahedron as a benchmark for assessing Monte Carlo simulations.

Suggested Citation

  • Davit Stepanyan & Harald Grethe & Khalid Siddig, 2019. "Comment on "A Monte Carlo filtering application for systematic sensitivity analysis of computable general equilibrium results"," Economics Bulletin, AccessEcon, vol. 39(3), pages 1925-1929.
    • Handle: RePEc:ebl:ecbull:eb-19-00610
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2019/Volume39/EB-19-V39-I3-P181.pdf
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    References listed on IDEAS

    as
    1. Artavia, Marco & Grethe, Harald & Zimmermann, Georg, 2015. "Stochastic market modeling with Gaussian Quadratures: Do rotations of Stroud's octahedron matter?," Economic Modelling, Elsevier, vol. 45(C), pages 155-168.
    2. Siddig, Khalid & Elagra, Samir & Grethe, Harald & Mubarak, Amel, 2016. "A Post-Separation Social Accounting Matrix for the Sudan," Working Paper Series 244286, Humboldt University Berlin, Department of Agricultural Economics.
    3. Sébastien Mary & Euan Phimister & Deborah Roberts & Fabien Santini, 2019. "A Monte Carlo filtering application for systematic sensitivity analysis of computable general equilibrium results," Economic Systems Research, Taylor & Francis Journals, vol. 31(3), pages 404-422, July.
    4. Nelson B Villoria & Paul V Preckel, 2017. "Gaussian Quadratures vs. Monte Carlo Experiments for Systematic Sensitivity Analysis of Computable General Equilibrium Model Results," Economics Bulletin, AccessEcon, vol. 37(1), pages 480-487.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Systematic sensitivity analysis; Monte Carlo filtering; Gaussian quadratures; parameter uncertainty; CGE model;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • Q0 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General

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