On Efficient Simulations in Dynamic Models
AbstractWays of improving the efficiency of Monte-Carlo (MC) techniques are studied for dynamic models. Such models cause the conventinal Antithetic Variate (AV) technique to fail, and will be proved to reduce the benefit from using Control Variates with nearly non-stationary series. This paper suggest modifications of the two conventional variance reduction techniques to enhance their efficiency. New classes of AV's are also proposed. Methods of reordering residuals are found to do less well than others wich rely on changing signs in the spirit of the traditional AV. Then, unconventional applications of these techniques of MC work for nearly nonstationary series. It generates econometric estimators at one and a half times the speed of conventional MC.
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Bibliographic InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9521.
Length: 18 pages
Date of creation: 1995
Date of revision:
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- C00 - Mathematical and Quantitative Methods - - General - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johannes Jahn & Rüdiger Rauh, 1997. "Contingent epiderivatives and set-valued optimization," Computational Statistics, Springer, vol. 46(2), pages 193-211, June.
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