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Simulating Tail Probabilities in GI/GI.1 Queues and Insurance Risk Processes with Subexponentail Distributions
Boots, Nam Kyoo; Shahabuddin, Perwez - 2001
probabilities andspecial fast simulation techniques like importancesampling, multilevel splitting, etc., have to be used. Though …-taileddistributions, previous fast simulation techniques forqueues with subexponential service times have been confined to theM/GI/1 queue. The …
Persistent link: https://www.econbiz.de/10010324803
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Standard and Shuffled Halton Sequences in a Mixed Logit Model
Staus, Alexander - 2008
. Simulation methods have been developed to approximate a solution for these integrals. This paper describes the Standard Halton … sequence and a modification of it, the Shuffled Halton sequence. Both are simulation methods which can reduce computational … effort compared to a random sequence. We compare the simulation methods in their coverage of the multi-dimensional area and …
Persistent link: https://www.econbiz.de/10011375025
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Imputing consumption in the PSID using food demand estimates from the CEX
Blundell, Richard W.; Pistaferri, Luigi; Preston, Ian - 2004
This paper assesses the accuracy of decomposing income risk into permanent and transitory components using income and consumption data. We develop a specific approximation to the optimal consumption growth rule and use Monte Carlo evidence to show that this approximation can provide a robust...
Persistent link: https://www.econbiz.de/10010292983
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Saving on a Rainy Day, Borrowing for a Rainy Day
Alan, Sule; Crossley, Thomas; Low, Hamish - 2012
The aim of this paper is to understand what a recession means for individual consumers, and to model in a life-cycle framework how individuals respond to recessions. Our focus is on the sharp increase in savings rates that have been observed in the current and recent recessions. We show...
Persistent link: https://www.econbiz.de/10010500212
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Wann werden Serviceleistungen nachgefragt? Ein Mikrosimulationsmodell alternativer Ladenöffnungszeiten mit Daten der Zeitbudgeterhebung - ServSim
Merz, Joachim; Böhm, Paul; Hanglberger, Dominik; … - 2007
Ziel dieser Studie ist die empirisch fundierte Untersuchung der tageszeitlichen Nachfrage nach Serviceleistungen, also der Nachfrage nach Produkten und vertieft nach Dienstleistungen. Zu diesem Zweck greifen wir auf die mehr als 37.000 Zeittagebücher der nationalen Zeitbudgeterhebung 2001/2002...
Persistent link: https://www.econbiz.de/10010290520
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Expenditure responses, policy interventions and heterogeneous welfare effects in Hungary during the 2000s
Cseres-Gergely, Zsombor; Molnár, György; Szabó, Tibor - 2017
VAT rates have changed multiple times and to a relatively great extent in Hungary during the past years. We use the resulting price changes in estimating the price- and income-elasticity of households' expenditures. As a novelty, we introduce an interaction term in estimating the demand system...
Persistent link: https://www.econbiz.de/10011944901
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The Shape of the Loss Curve and the Impact of Long-Range Dependence on Network Performance
Mandjes, Michel; Boots, Nam Kyoo - 2001
Empirical studies showed that many types of network traffic exhibit long-range dependence (LRD),i.e., burstiness on a wide variety of time-scales. Given that traffic streams are indeed endowed withLRD properties, a next question is: what is their impact on network performance? To assess...
Persistent link: https://www.econbiz.de/10010324772
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Fast Simulation of a Queue fed by a Superposition of Many (Heavy-Tailed) Sources
Boots, Nam Kyoo; Mandjes, Michel - 2001
simulation is too time-consuming, and we have to use fastsimulation techniques instead. Due to the exponential decay (in n …,the change of measure is not constant during the simulation run, which is essentially differentfrom many other studies (usually … indeedimproves considerably over naive simulation. We present some accelerations. Finally, we give shortcomments on the influence of …
Persistent link: https://www.econbiz.de/10010325017
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Finite sample correction factors for panel cointegration tests
Hlouskova, Jaroslava; Wagner, Martin - 2009
In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...
Persistent link: https://www.econbiz.de/10010294038
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Reproducible Econometric Simulations
Kleiber, Christian; Zeileis, Achim - 2011
Reproducibility of economic research has attracted considerable attention in recent years. So far, the discussion has focused on reproducibility of empirical analyses. This paper addresses a further aspect of reproducibility, the reproducibility of computational experiments. We examine the...
Persistent link: https://www.econbiz.de/10010294814