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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Year of publication:	2000
Authors:	Li, J.X. ; Winker, P.
Institutions:	Department of Economics, Pennsylvania State University
Subject:	TIME SERIES \| ECONOMIC MODELS

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Series:	Pennsylvania State - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C22 - Time-Series Models ; C10 - Econometric and Statistical Methods: General. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005631515