Time Series Simulation With Quasi-Monte Carlo Methods
The 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.
|Date of creation:||05 Jul 2000|
|Contact details of provider:|| Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain|
Fax: +34 93 542 17 46
Web page: http://enginy.upf.es/SCE/
More information through EDIRC
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.:
- Neil R. Ericsson & Jaime Marquez, 1998.
"A framework for economic forecasting,"
Royal Economic Society, vol. 1(Conferenc), pages 228-266.
- 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:sce:scecf0:151. 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: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.