Journal article

Publication year: 2003

Pages: 23-43

Journal: Computational Economics

Volume number: 21

Issue number: 1-2

DOI Link: https://doi.org/10.1023/A:1022289509702

Publisher: Springer

Abstract: 

This paper compares quasi Monte Carlo methods, in particularso-called (t, m, s)-nets, with classical Monte Carlo approaches forsimulating econometric time-series models. Quasi Monte Carlomethods have found successful application in many fields, such asphysics, image processing, and the evaluation of financederivatives. However, they are rarely used in econometrics. Here,we apply both traditional and quasi Monte Carlo simulation methodsto time-series models that typically arise in macroeconometrics.The numerical experiments demonstrate that quasi Monte Carlomethods outperform traditional ones for all models we investigate.

Harvard Citation style: Li, J. and Winker, P. (2003) Time Series Simulation with Quasi Monte Carlo Methods, Computational Economics, 21(1-2), pp. 23-43. https://doi.org/10.1023/A:1022289509702

APA Citation style: Li, J., & Winker, P. (2003). Time Series Simulation with Quasi Monte Carlo Methods. Computational Economics. 21(1-2), 23-43. https://doi.org/10.1023/A:1022289509702