Quasi Monte Carlo methods for macroeconometric simulation

We continue our research into the Quasi Monte Carlo simulation method and its application in macroeconometrics. Prior research indicated Quasi Monte Carlo simulation to be superior to traditional Monte Carlo methods. Now we address additional important issues including the robustness of the numerical algorithm to the problem dimension, comparisons among different types of Quasi Monte Carlo methods, and an analysis of performance improvements.

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Year of publication:	2001-04-01
Authors:	Li, Jenny X. ; Winker, Peter
Institutions:	Society for Computational Economics - SCE
Subject:	Quasi Monte Carlo

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Series:	Computing in Economics and Finance 2001.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2001 Number 199
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005132871