Quasi-Monte Carlo Methods in Stochastic Simulations: An Application to Policy Simulations Using a Disequilibrium Model of the West German Economy 1960-1994

Posted: 29 Jul 2000

See all articles by Wolfgang Franz

Wolfgang Franz

Centre for European Economic Research (ZEW)

Klaus Goeggelmann

Credit Suisse Asset Management

Martin Schellhorn

GSF - National Research Center for Environment and Health - Institute of Health Economics and Health Care Management (IGM); IZA Institute of Labor Economics

Peter Winker

University of Giessen - Department of Economics

Abstract

Different stochastic simulation methods are used in order to check the robustness of the outcome of policy simulations. The application of a macroeconometric disequilibrium model of the West German economy to a fiscal policy simulation is taken as an example. Due to nonlinearities arising from regime specific reactions inside the model, confidence intervals for the simulation results have to be obtained by means of stochastic simulations. The robustness of the results is assessed using different methodologies. 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.

Keywords: Policy simulation, stochastic simulation, random number generation, Quasi-Monte Carlo methods

JEL Classification: C50, C87, E37

Suggested Citation

Franz, Wolfgang and Goeggelmann, Klaus and Schellhorn, Martin and Winker, Peter, Quasi-Monte Carlo Methods in Stochastic Simulations: An Application to Policy Simulations Using a Disequilibrium Model of the West German Economy 1960-1994. Empirical Economics, Vol. 25, No. 2, 2000 . Available at SSRN: https://ssrn.com/abstract=232711

Wolfgang Franz (Contact Author)

Centre for European Economic Research (ZEW) ( email )

Postfach 103443
Mannheim, D-68034
Germany
+ 49 621 1235 100 (Phone)
+ 49 621 1235 222 (Fax)

Klaus Goeggelmann

Credit Suisse Asset Management ( email )

One Madison Ave
New York, NY 10010
United States

Martin Schellhorn

GSF - National Research Center for Environment and Health - Institute of Health Economics and Health Care Management (IGM) ( email )

Ingolst├Ądter Landstrasse 1
D-85764 Neuherberg
Germany

IZA Institute of Labor Economics ( email )

P.O. Box 7240
Bonn, D-53072
Germany

Peter Winker

University of Giessen - Department of Economics ( email )

Licher Str. 62
D-35394 Giessen, DE
Germany

HOME PAGE: http://wiwi.uni-giessen.de/home/oekonometrie/

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
1,137
PlumX Metrics