This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Quasi - Monte Carlo Methods in Stochastic Simulations

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Franz, Wolfgang
Göggelmann, Klaus
Schellhorn, Martin
Winker, Peter

Additional information is available for the following registered author(s):

Abstract

Different stochastic simulation methods are used in order to check the robustness of the outcome of policy simulations with a macroeconometric model. A macroeconometric disequilibriummodel of the West German economy is used to analyze a reform proposal for the tax system. The model was estimated with quarterly data for the period 1960 to 1994, the presently possible margin. Because of nonlinearities confidence intervals for the simulation results have to be obtained by means of stochastic simulations. The main contribution of this paper consists in presenting the simulation results. The robustness of these results is analyzed using different approaches to stochastic simulation. In particular, different methods for the generation of uniform error terms and their conversion to normal variates are applied. These methods include standard approaches as well as quasi - Monte Carlo methods. --

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://econstor.eu/bitstream/10419/24257/1/dp0398.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research in its series ZEW Discussion Papers with number 98-03.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 1998
Date of revision:
Handle: RePEc:zbw:zewdip:5178

Contact details of provider:
Postal: L 7,1; D - 68161 Mannheim
Phone: +49/621/1235-01
Fax: +49/621/1235-224
Email:
Web page: http://www.zew.de/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (ZBW - German National Library for Economics).

Related research
Keywords: policy simulation; macroeconometric disequilibrium model; stochastic simulation; random number generation; quasi - Monte Carlo methods;

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.:

  1. Manfred Gilli & Giorgio Pauletto, 1995. "Sparse Direct Methods for Model Simulation," Cahiers du Département d'Econométrie 95.06, Département d'Econométrie, Université de Genève. [Downloadable!]
    Other versions:
  2. 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)
  3. Sterbenz, Frederic P & Calzolari, Giorgio, 1990. "Alternative Specifications of the Error Process in the Stochastic Simulation of Econometric Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 137-50, April-Jun. [Downloadable!] (restricted)
Full references

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.)

  1. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Springer, vol. 31(1), pages 21-43, February. [Downloadable!] (restricted)
  2. 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)
    Other versions:
Statistics
Access and download statistics

Did you know? You can use IDEAS to provide links to papers and articles in your course syllabus.

This page was last updated on 2009-12-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.