On Efficient Simulations in Dynamic Models
Ways 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1995|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (01392) 263218
Fax: (01392) 263242
Web page: http://business-school.exeter.ac.uk/about/departments/economics/
More information through EDIRC
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.:
- repec:spr:compst:v:46:y:1997:i:2:p:193-211 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:exe:wpaper:9521. 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: (Carlos Cortinhas)
If references are entirely missing, you can add them using this form.