Time Series Simulation With Quasi-Monte Carlo Methods

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Time Series Simulation With Quasi-Monte Carlo Methods

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Peter Winker (University of Manheim)
Jenny Li (The Pennsylvania State University)

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Peter Winker

Abstract

The purpose of this paper is to compare the use of quasi-Monte Carlo methods, in particular the so--called $(t,m,s)-nets$ technique, versus classical Monte Carlo approaches for the simulation of econometric time series models. Some theoretic results indicate the superiority of quasi-Monte Carlo methods. Successful applications already exist in image processing, physics, and the evaluation of finance derivatives. However, so far, quasi--Monte Carlo methods are rarely used in the field of econometrics. In this paper, we apply both traditional Monte Carlo and quasi--Monte Carlo simulation methods to time series models as they typically arise in macroeconometrics. The numerical evidence demonstrates that quasi--Monte Carlo methods outperform the traditional Monte Carlo for many time series models including non-linear and multivariate models.

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 151.

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Date of creation: 05 Jul 2000
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Handle: RePEc:sce:scecf0:151

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Article
- 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!]
- Jenny Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Springer, vol. 21(1), pages 23-43, February. [Downloadable!] (restricted)
Paper
- Li, J.X. & Winker, P., 2000. "Time Series Simulation With Quasi Monte Carlo Methods," Papers 9-00-1, Pennsylvania State - Department of Economics.

References listed on IDEAS
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.:

Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C228-C266.
Other versions:
- Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," International Finance Discussion Papers 626, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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!]

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Cited by:
(explanations, 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.)

Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Springer, vol. 31(1), pages 21-43, February. [Downloadable!] (restricted)

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