Gaussian Quadratures vs. Monte Carlo Experiments for Systematic Sensitivity Analysis of Computable General Equilibrium Model Results

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dc.contributor.author Villoria, Nelson B.
dc.contributor.author Preckel, Paul V.
dc.date.accessioned 2017-12-12T20:30:53Z
dc.date.available 2017-12-12T20:30:53Z
dc.identifier.uri http://hdl.handle.net/2097/38434
dc.description Citation: Villoria, N. B., & Preckel, P. V. (2017). Gaussian Quadratures vs. Monte Carlo Experiments for Systematic Sensitivity Analysis of Computable General Equilibrium Model Results. Economics Bulletin, 37(1), 480-+. Retrieved from <Go to ISI>://WOS:000398860600043
dc.description.abstract Third-order Gaussian quadratures (GQ) approximate the mean and variance of model results allowing for computationally inexpensive sensitivity analysis to uncertainty in exogenous parameters. Unfortunately, commonly used GQ approaches restrict the marginal distributions of both parameters and results sacrificing valuable distributional information. Using higher order quadratures, or incorporating more uncertain exogenous parameters, rapidly increases the sample size, undermining the rationale for using GQ. In contrast, Monte Carlo methods directly approximate the distribution of model outcomes without restrictive distributional assumptions on exogenous parameters. We argue that current computing capabilities allow for wider use of Monte Carlo methods for conducting stochastic simulations.
dc.rights This Item is protected by copyright and/or related rights. You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s).
dc.rights.uri http://www.accessecon.com/Store/Economics%20Bulletin%20author%20guildlines-2012.pdf
dc.subject Business & Economics
dc.title Gaussian Quadratures vs. Monte Carlo Experiments for Systematic Sensitivity Analysis of Computable General Equilibrium Model Results
dc.type Article
dc.date.published 2017
dc.citation.issn 1545-2921
dc.citation.issue 1
dc.citation.jtitle Economics Bulletin
dc.citation.spage 480
dc.citation.volume 37
dc.description.embargo 2018-03
dc.contributor.authoreid nvilloria
dc.contributor.kstate Villoria, Nelson B.


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