Time Series Simulation with Quasi Monte Carlo Methods

Jenny Li and Peter Winker

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

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. Copyright Kluwer Academic Publishers 2003

Keywords: time series; quasi Monte Carlo; econometric simulation (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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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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Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:21:y:2003:i:1:p:23-43

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DOI: 10.1023/A:1022289509702

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