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Using Wasserstein Generative Adversarial Networks for the Design of Monte Carlo Simulations
Athey, Susan - 2019
their analytic approach to a given setting, and (ii) systematic simulation studies can be helpful for selecting among …
Persistent link: https://www.econbiz.de/10012857741
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One-Node Quadrature Beats Monte Carlo : A Generalized Stochastic Simulation Algorithm
Judd, Kenneth L. - 2011
In conventional stochastic simulation algorithms, Monte Carlo integration and curve fitting are merged together and … stochastic simulation approach in which integration and curve fitting are separated. We specifically allow for the use of … achieve accuracy of solutions that is orders of magnitude higher than that of the conventional stochastic simulation …
Persistent link: https://www.econbiz.de/10013131303
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Forecast Evaluation of Small Nested Model Sets
Hubrich, Kirstin - 2010
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs of a small set of alternative models that nest the benchmark. Our procedures compare the benchmark to all the alternative models simultaneously rather than sequentially, and do...
Persistent link: https://www.econbiz.de/10012758057
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A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
Brandt, Michael W. - 2009
We present a simulation-based method for solving discrete-time portfolio choice problems involving non … dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is …
Persistent link: https://www.econbiz.de/10012767619
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Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
Clark, Todd E. - 2007
normal critical values will yield actual sizes close to, but a little less than, nominal size. Simulation evidence supports …
Persistent link: https://www.econbiz.de/10012778361
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Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation
Fair, Ray C. - 2007
stochastic simulation. One can estimate, for example, the probability of a recession occurring within some fixed period in the … present procedure is that the probabilities estimated from the stochastic simulation are objective in the sense that they are …
Persistent link: https://www.econbiz.de/10012776706
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Regression-Based Tests of Predictive Ability
West, Kenneth D.; McCracken, Michael W. - 2021
We develop regression-based tests of hypotheses about out of sample prediction errors. Representative tests include ones for zero mean and zero correlation between a prediction error and a vector of predictors. The relevant environments are ones in which predictions depend on estimated...
Persistent link: https://www.econbiz.de/10013247220
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Identification Through Heteroskedasticity : Measuring "Contagion: Betweenargentinean and Mexican Sovereign Bonds
Rigobon, Roberto - 2010
In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...
Persistent link: https://www.econbiz.de/10012763760
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Private Precaution and Public Restrictions : What Drives Social Distancing and Industry Foot Traffic in the Covid-19 Era?
Cronin, Christopher - 2020
We examine the role of state and local policies to encourage social distancing, including stay at home orders, public school closures, and restrictions on restaurants, entertainment, and large social gatherings. Outcomes come from cell phone records and include foot traffic in six industries...
Persistent link: https://www.econbiz.de/10012828463
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Structural Breaks in an Endogenous Growth Model
Cogley, Timothy; Jovanovic, Boyan - 2022
We study the effects of parameter uncertainty prompted by structural breaks. In our model, agents respond differently to uncertainty prompted by regime shifts in shock processes than they react to comparable perceived increases in shock volatility. The magnitude of the response to an increase in...
Persistent link: https://www.econbiz.de/10014091104