Quasi Monte Carlo methods for macroeconometric simulation

Jenny X. Li and Peter Winker
Authors registered in the RePEc Author Service: Peter Winker

No 199, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: We continue our research into the Quasi Monte Carlo simulation method and its application in macroeconometrics. Prior research indicated Quasi Monte Carlo simulation to be superior to traditional Monte Carlo methods. Now we address additional important issues including the robustness of the numerical algorithm to the problem dimension, comparisons among different types of Quasi Monte Carlo methods, and an analysis of performance improvements.

Keywords: Quasi; Monte; Carlo (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2001-04-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:199

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