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Stochastic Ceteris Paribus Simulations

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Author Info
Dag Kolsrud ()
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File URL: http://hdl.handle.net/10.1007/s10614-007-9105-3
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 31 (2008)
Issue (Month): 1 (February)
Pages: 21-43
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:compec:v:31:y:2008:i:1:p:21-43

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Web page: http://www.springerlink.com/link.asp?id=100248

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Ceteris paribus; Common random numbers; Counterfactual analysis; Stochastic simulation; Super exogeneity; Variance reduction; C15; C53; C90; E63;

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References listed on IDEAS
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  1. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June. [Downloadable!] (restricted)
  3. Fair, Ray C, 1996. "Computing Median Unbiased Estimates in Macroeconometric Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 431-35, July-Aug.. [Downloadable!]
  4. Hall, S G, 1986. "Estimating the Uncertainty of the Simulation Properties of Large Nonlinear Econometric Models," Applied Economics, Taylor and Francis Journals, vol. 18(9), pages 985-93, September.
  5. Ray C. Fair, 1993. "Estimating Event Probabilities from Macroeconometric Models Using Stochastic Simulation," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 157-178 National Bureau of Economic Research, Inc. [Downloadable!]
  6. Ben Hunt & Douglas Laxton, 2001. "The Zero Interest Rate Floor (ZIF) and its Implications for Monetary Policy in Japan," IMF Working Papers 01/186, International Monetary Fund. [Downloadable!]
  7. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328. [Downloadable!] (restricted)
  8. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-43, March. [Downloadable!] (restricted)
  9. Reeves, Jonathan J., 2005. "Bootstrap prediction intervals for ARCH models," International Journal of Forecasting, Elsevier, vol. 21(2), pages 237-248. [Downloadable!] (restricted)
  10. Brown, Bryan W & Mariano, Roberto S, 1989. "Measures of Deterministic Prediction Bias in Nonlinear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 667-84, August. [Downloadable!] (restricted)
  11. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267. [Downloadable!] (restricted)
  12. Fair, Ray C, 1988. "Sources of Economic Fluctuations in the United States," The Quarterly Journal of Economics, MIT Press, vol. 103(2), pages 313-32, May. [Downloadable!] (restricted)
  13. Gregory, Allan W & Smith, Gregor W, 1991. "Calibration as Testing: Inference in Simulated Macroeconomic Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 297-303, July.
  14. Jenny X. Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer, vol. 21(1_2), pages 23-43, 02. [Downloadable!]
    Other versions:
  15. Barrell, Ray & Byrne, Joseph P. & Dury, Karen, 2003. "The implications of diversity in consumption behaviour for the choice of monetary policy rules in Europe," Economic Modelling, Elsevier, vol. 20(2), pages 275-299, March. [Downloadable!] (restricted)
  16. Ray C. Fair, 1991. "Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation," NBER Technical Working Papers 0111, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. Minford, Patrick & Webb, Bruce, 2005. "Estimating large rational expectations models by FIML--some experiments using a new algorithm with bootstrap confidence limits," Economic Modelling, Elsevier, vol. 22(1), pages 187-205, January. [Downloadable!] (restricted)
  18. Franz, Wolfgang & Göggelmann, Klaus & Schellhorn, Martin & Winker, Peter, 1998. "Quasi - Monte Carlo Methods in Stochastic Simulations," ZEW Discussion Papers 98-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  19. Fisher, Paul & Salmon, Mark, 1985. "On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models," CEPR Discussion Papers 86, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  20. Dury, Karen & Pina, Alvaro M., 2003. "Fiscal policy in EMU: simulating the operation of the Stability Pact," Journal of Policy Modeling, Elsevier, vol. 25(2), pages 179-206, February. [Downloadable!] (restricted)
    Other versions:
  21. Dag Kolsrud, 2004. "On Stochastic Simulation of Forward-Looking Models," Computational Economics, Springer, vol. 24(2), pages 159-183, 09. [Downloadable!]
  22. Ray C. Fair, 2001. "Bootstrapping Macroeconometric Models," Cowles Foundation Discussion Papers 1345, Cowles Foundation, Yale University, revised Jun 2003. [Downloadable!]
    Other versions:
  23. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-91, September. [Downloadable!] (restricted)
  24. Amman, Hans M & Kendrick, David A, 1999. "Should Macroeconomic Policy Makers Consider Parameter Covariances?," Computational Economics, Springer, vol. 14(3), pages 263-67, December. [Downloadable!]
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  25. Fair, Ray C., 1988. "Optimal choice of monetary policy instruments in a macroeconometric model," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 301-315, September. [Downloadable!] (restricted)
    Other versions:
  26. Barrell, Ray & Pina, Alvaro M., 2004. "How important are automatic stabilisers in Europe? A stochastic simulation assessment," Economic Modelling, Elsevier, vol. 21(1), pages 1-35, January. [Downloadable!] (restricted)
    Other versions:
  27. Bierens, Herman J. & Swanson, Norman R., 2000. "The econometric consequences of the ceteris paribus condition in economic theory," Journal of Econometrics, Elsevier, vol. 95(2), pages 223-253, April. [Downloadable!] (restricted)
  28. Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June. [Downloadable!] (restricted)
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