Time Series Simulation with Quasi Monte Carlo Methods

Jenny X. Li, Peter Winker

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

This paper compares quasi Monte Carlo methods, in particularso-called (t, m, s)-nets, with classical Monte Carlo approaches forsimulating econometric time-series models. Quasi Monte Carlomethods have found successful application in many fields, such asphysics, image processing, and the evaluation of financederivatives. However, they are rarely used in econometrics. Here,we apply both traditional and quasi Monte Carlo simulation methodsto time-series models that typically arise in macroeconometrics.The numerical experiments demonstrate that quasi Monte Carlomethods outperform traditional ones for all models we investigate.

Original languageEnglish (US)
Pages (from-to)23-43
Number of pages21
JournalComputational Economics
Volume21
Issue number1-2
DOIs
StatePublished - Apr 1 2003

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance (miscellaneous)
  • Computer Science Applications

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