Time Series Simulation with Quasi Monte Carlo Methods

Jenny X. Li () and Peter Winker

Computational Economics, 2003, vol. 21, issue 1_2, 23-43

Abstract: 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 models. Quasi Monte Carlo methods have found successful application in many fields, such as physics, image processing, and the evaluation of finance derivatives. However, they are rarely used in econometrics. Here, we apply both traditional and quasi Monte Carlo simulation methods to time-series models that typically arise in macroeconometrics. The numerical experiments demonstrate that quasi Monte Carlo methods outperform traditional ones for all models we investigate.

Date: 2003
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Journal Article: Time Series Simulation with Quasi Monte Carlo Methods (2003)
Working Paper: Time Series Simulation With Quasi Monte Carlo Methods (2000)
Working Paper: TIME SERIES SIMULATION WITH QUASI-MONTE CARLO METHODS (2000)
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