A new global optimization algorithm simulated.annealing, is tested on a difficult econometric problem. The authors find that simulated annealing performs better than conventional algorithms. Citation Copyright 1992 by Kluwer Academic Publishers.

This paper presents a network model of financial flow of funds accounting which can be used to calculate reconciled values of all outstanding financial instruments, tangible assets, and net worth. The model captures the accounting identities which must hold and permits the estimation of sector...

This paper describes how vector processing, a supercomputer technique, can be useful in analyzing and evaluating the performance of large-scale nonlinear econometric models. The efficacy of the proposed procedures is illustrated through experiments performed on macromodels developed at the...

To estimate the economic policy effects of per unit policy change the conventional policy multipliers, as a measure of policy effects can be easily calculated from the traditional dynamic econometric model without expectations variables. However, the past decade has witnessed much research and...

This paper presents the methodology used to construct reliable estimates of the term structure of interest rates for the United States during 1919-30. These monthly term structures are based on individual corporate bonds' price quotations for the majority of U.S. railroad corporations' issues of...

To get a better impression of the quantitative relationships in/of the various channels of macroeconomic models, E. Kuh, J. Neese, and P. Hollinger (1982, 1985) introduced the technique of systematic parameter perturbation. This technique is applied to the RWI-business cycle model, a medium...

Within the regression context, this method begins with the set of exactly fitted coefficients determined from each "p"-dimensional subset of the sample. Outlying points in this "p"-dimensional coefficient space correspond to outliers in the original "n"-dimensional data space. Resampled values...

The application of a new simulation language (ESL) is demonstrated through a stochastic dynamic market model with free entry and exit. Since ESL allows us to specify single economic units and to coordinate all their activities, the details of a microeconomic process can be described. The market...

The standard computational formula for the three-stage least-squares estimator is a daunting affair even for modest sized systems of equations. Through the use of the QR decomposition, however, these computations can be substantially reduced in size, removing the order of "T"(number of...

Two algorithms and corresponding Fortran computer programs for the computation of posterior moments and densities using the principle of importance sampling are described in detail. The first algorithm makes use of a multivariate Student "t" importance function as approximation of the posterior....