Resource title

Quasi - Monte Carlo Methods in Stochastic Simulations

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Resource description

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.

Resource author

Wolfgang Franz, Klaus Göggelmann, Martin Schellhorn, Peter Winker

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24257

Resource license

Adapt according to the presented license agreement and reference the original author.