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How Universal is Behavior?
Brandts, Jordi; Saijo, Tatsuyoshi; Schram, Arthur - 2002
This paper studies behavior in experiments with a linear voluntary contributions mechanism for public goods conducted in Japan, the Netherlands, Spain and the USA. The same experimental design was used in the four countries. Our 'contribution function' design allows us to obtain a view of...
Persistent link: https://www.econbiz.de/10010325039
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Nonrenewable Resources, Strategic Behavior and the Hotelling Rule : An Experiment
van Veldhuizen, Roel; Sonnemans, Joep - 2014
This study uses the methods of experimental economics to investigate possible causes for the failure of the Hotelling rule for nonrenewable resources. We argue that as long as resource stocks are high enough, producers may choose to (partially) ignore the dynamic component of their production...
Persistent link: https://www.econbiz.de/10014186740
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …
Persistent link: https://www.econbiz.de/10010326266
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The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012
This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...
Persistent link: https://www.econbiz.de/10010326521
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10010324653
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10010324702
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Total Factor Productivity and the Mongolian Transition
Chessa, Antonio G.; Schouwstra, Marije C. - 2005
Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...
Persistent link: https://www.econbiz.de/10010325301
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The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment
Koetse, Mark J.; Florax, Raymond J.G.M.; de Groot, … - 2007
In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a …
Persistent link: https://www.econbiz.de/10010325529
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Possibly Ill-behaved Posteriors in Econometric Models
Hoogerheide, Lennart; van Dijk, Herman K. - 2008
sophisticated neural network simulation techniques is explored. In all examples considered in this paper – a bimodal distribution of …
Persistent link: https://www.econbiz.de/10010325728
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A Class of Adaptive EM-Based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart F. - 2011
A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed … MitISEM in a sequential manner, so that the candidate distribution for posterior simulation is cleverly updated when new data … with a tempering approach, which facilitates the simulation from densities with multiple modes that are far apart. Second …
Persistent link: https://www.econbiz.de/10013131624