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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 …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …

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

A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables

Keane, Michael P.; Sauer, Robert M. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

Persistent link: https://www.econbiz.de/10010271244

Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

Winker, Peter; Gilli, Manfred - 2001

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of … financial market data to assess the similarity of simulation outcomes. …

Persistent link: https://www.econbiz.de/10009138391

Risk estimation via regression

Broadie, Mark; Du, Yiping; Moallemi, Ciamac C. - In: Operations research 63 (2015) 5, pp. 1077-1097

Persistent link: https://www.econbiz.de/10011397803

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 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/10011301159

An estimation of worker and firm effects with censored data

González de San Román, Ainara; Rebollo-Sanz, Yolanda F. - 2014

In this paper, the authors develop a new estimation method that is suitable for censored models with two high-dimensional fixed effects and that is based on a sequence of least squares regressions, yielding significant savings in computing time and hence making it applicable to frameworks in...

Persistent link: https://www.econbiz.de/10010373786

Estimating gender wage gaps : a data update

McDonald, Judith Ann; Thornton, Robert J. - In: The journal of economic education 47 (2016) 2, pp. 140-141

Persistent link: https://www.econbiz.de/10011517078

The role of credit in the housing market

Gerlach-Kristen, Petra; McInerney, Niall - 2014

We estimate a structural model of the Irish housing and mortgage markets and isolate the role of demand and supply factors in each market. We focus on the pre-2004 period during which house prices and mortgage credit exhibited a stable relationship. We find that mortgage demand is determined by...

Persistent link: https://www.econbiz.de/10010467589

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Fiscal Policy Rules for Stabilisation and Growth : A Simulation Analysis of Deficit and Expenditure Targets in a Monetary Union

Brück, Tilman; Zwiener, Rudolf - 2004

We analyse the effectiveness of fiscal policy rules for business cycle stabilisation in a monetary union using a quarterly macro-econometric model of Germany. The simulations compare a deficit target and an expenditure target under a range of supply, demand and fiscal shocks. Their effects are...

Persistent link: https://www.econbiz.de/10010260720

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