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McAleer, Michael; Chan, Felix; Oxley, Les - 2013

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, evaluation of the DPC-based inclusive payment system in Japan for cataract operations by a new model, the matching of lead …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …

Persistent link: https://www.econbiz.de/10010326266

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999

applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …

Persistent link: https://www.econbiz.de/10010324702

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

Modelling Issues in Kernel Ridge Regression

Exterkate, Peter - 2011

Kernel ridge regression is gaining popularity as a data-rich nonlinear forecasting tool, which is applicable in many different contexts. This paper investigates the influence of the choice of kernel and the setting of tuning parameters on forecast accuracy. We review several popular kernels,...

Persistent link: https://www.econbiz.de/10013119940

Estimating the Effects of Recent Disability Reforms in the Netherlands

Sonsbeek, Jan-Maarten van; Gradus, Raymond - 2011

In the 1980s and 1990s, disability benefit rates in the Netherlands were among the highest in the world. However, since the beginning of this century the number of disability cases has dropped remarkably due to some very successful policy reforms. An administrative dataset of Dutch disability...

Persistent link: https://www.econbiz.de/10014178833

Counting with Combined Splitting and Capture-Recapture Methods

Dupuis, Paul; Kaynar, Bahar; Ridder, Ad; Rubinstein, Reuven - 2011

We apply the splitting method to three well-known counting problems, namely 3-SAT, random graphs with prescribed degrees, and binary contingency tables. We present an enhanced version of the splitting method based on the capture-recapture technique, and show by experiments the superiority of...

Persistent link: https://www.econbiz.de/10010325899

On Distributions of Ratios

Broda, Simon A.; Kan, Raymond - 2014

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10010328339

Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models

Blasques, Francisco; Nientker, Marc - 2019

This paper introduces a new solution method for Dynamic Stochastic General Equilibrium (DSGE) models that produces non explosive paths. The proposed solution method is as fast as standard perturbation methods and can be easily implemented in existing software packages like Dynare as it is...

Persistent link: https://www.econbiz.de/10012114765

Detecting Serial Dependence in Tail Events

Diks, Cees - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10010324850

A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods

Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; van … - 2010

Strategic choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation … possible advantages and limitations of different simulation techniques; of possible choices of candidate distributions and …

Persistent link: https://www.econbiz.de/10010325793