Time Series Simulation With Quasi-Monte Carlo Methods
AbstractThe 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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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 151.
Date of creation: 05 Jul 2000
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Other versions of this item:
- Jenny Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Society for Computational Economics, vol. 21(1), pages 23-43, February.
- Jenny X. Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Society for Computational Economics, vol. 21(1_2), pages 23-43, 02.
- Li, J.X. & Winker, P., 2000. "Time Series Simulation With Quasi Monte Carlo Methods," Papers 9-00-1, Pennsylvania State - Department of Economics.
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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