Time Series Simulation With Quasi Monte Carlo Methods
This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.
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|Date of creation:||2000|
|Date of revision:|
|Contact details of provider:|| Postal: PENNSYLVANIA STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK PENNSYLVANIA 16802 U.S.A.|
Web page: http://econ.la.psu.edu/
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- Neil R. Ericsson & Jaime R. Marquez, 1998.
"A framework for economic forecasting,"
International Finance Discussion Papers
626, Board of Governors of the Federal Reserve System (U.S.).
- Franz, Wolfgang & Göggelmann, Klaus & Schellhorn, Martin & Winker, Peter, 1998. "Quasi-Monte Carlo Methods in Stochastic Simulations: An Application to Fiscal Policy Simulations using an Aggregate Disequilibrium Model of the West German Economy," ZEW Discussion Papers 98-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
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