Advanced Search
MyIDEAS: Login to save this paper or follow this series

Quasi - Monte Carlo Methods in Stochastic Simulations

Contents:

Author Info

  • Franz, Wolfgang
  • Göggelmann, Klaus
  • Schellhorn, Martin
  • Winker, Peter

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

If you experience problems downloading a file, check if you have the proper application to view it first. 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
Download Restriction: no

Bibliographic Info

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

as in new window
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

Related research

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

References

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.:
as in new window
  1. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, Econometric Society, vol. 52(2), pages 321-43, March.
  2. 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., John Wiley & Sons, Ltd., vol. 5(2), pages 137-50, April-Jun.
  3. Gilli, Manfred & Pauletto, Giorgio, 1997. "Sparse direct methods for model simulation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(6), pages 1093-1111, June.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Beck, Martin & Winker, Peter, 2004. "Modeling spillovers and feedback of international trade in a disequilibrium framework," Economic Modelling, Elsevier, Elsevier, vol. 21(3), pages 445-470, May.
  2. Jenny X. Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 21(1_2), pages 23-43, 02.
  3. Dobrescu, Emilian & Pauna, Bianca, 2007. "Stochastic simulations on the Romanian macroeconomic model," MPRA Paper 35723, University Library of Munich, Germany.
  4. Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(12), pages 2399-2426, December.
  5. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 31(1), pages 21-43, February.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zbw:zewdip:5178. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.