nep-cmp New Economics Papers
on Computational Economics
Issue of 2005‒01‒02
fourteen papers chosen by
Stan Miles
York University

  1. Aging, Pension Reform, and Capital Flows: A Multi-Country Simulation Model By Börsch-Supan, Axel; Ludwig, Alexander; Winter, Joachim
  2. An evolutionary algorithm and discrete event simulation for optimizing inspection strategies for multi-stage processes By Van Volsem S.; Dullaert W.; Van Landeghem R.
  3. Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering By David E. Giles; Chad N. Stroomer
  4. AN OPERATIONAL APPROACH FOR EVALUATING INVESTMENT RISK: AN APPLICATION TO THE NO-TILL TRANSITION By Bharat M. Upadhyay; Douglas L. Young
  5. Comparing Solution Methods for Dynamic Equilibrium Economies By Jesus Fernandez-Villaverde; Juan F. Rubio-Ramirez; S. Boragan Aruoba
  6. Effects of migration: an applied general equilibrium analysis for Belgium By Okkerse Liesbet
  7. Validating state-dependent queueing models for uninterrupted trafic flows using simulation By Wuyts B.; Van Woensel T.; Vandaele N.
  8. Taxation of car-ownership, car use and public transport: insight derived from a discrete choice numerical optimisation model By De Borger B.; Mayeres I.
  9. Estimating Dynamic Equilibrium Economies: Linear versus Nonlinear Likelihood By Jesus Fernandez-Villaverde; Juan F. Rubio-Ramirez
  10. A Comparative Analysis of the EU-Morocco FTA vs. Multilateral Liberalization By Elbehri, Aziz; Hertel, Thomas
  11. Improving Tatonnement Methods of Solving Heterogeneous Agent Models By Alexander Ludwig
  12. Stochastic Population Projection for Germany By Oliver Lipps, Frank Betz
  13. The Effects of Market Reform on Maize Marketing Margins in South Africa By Lulama Ndibongo Traub; Thomas S. Jayne
  14. Estimating Nonlinear Dynamic Equilibrium economies: A Likelihood Approach By Jesus Fernandez-Villaverde; Juan F. Rubio-Ramirez

  1. By: Börsch-Supan, Axel; Ludwig, Alexander; Winter, Joachim (Mannheim Research Institute for the Economics of Aging (MEA))
    Date: 2004–08–25
    URL: http://d.repec.org/n?u=RePEc:xrs:meawpa:0464&r=cmp
  2. By: Van Volsem S.; Dullaert W.; Van Landeghem R.
    Abstract: The problem of determining the optimal inspection strategy for a given multi-stage production process, i.e. the inspection strategy that results in the lowest total inspection cost, while still assuring a required output quality, is modelled as a joint optimization of inspection location, type and inspection limits. A fusion between a discrete event simulation to model the multi-stage process subject to inspection and to calculate the resulting inspection costs, and an evolutionary algorithm (EA) to optimize the inspection strategies, is suggested.
    Date: 2004–06
    URL: http://d.repec.org/n?u=RePEc:ant:wpaper:2004010&r=cmp
  3. By: David E. Giles (Department of Economics, University of Victoria); Chad N. Stroomer (Department of Economics, University of Victoria)
    Abstract: This paper presents a new method for extracting the cycle from an economic time series. This method uses the fuzzy c-means clustering algorithm, drawn from the pattern recognition literature, to identify groups of observations. The time series is modeled over each of these sub-samples, and the results are combined using the “degrees of membership” for each data-point with each cluster. The result is a totally flexible model that readily captures complex non-linearities in the data. This type of “fuzzy regression” analysis has been shown by Giles and Draeseke (2003) to be highly effective in a broad range of situations with economic data. The fuzzy filter that we develop here is compared with the well-known Hodrick-Prescott (HP) filter in a Monte Carlo experiment, and the new filter is found to perform as well as, or better than, the HP filter. The advantage of the fuzzy filter is especially pronounced when the data have a deterministic, rather than stochastic, trend. Applications with real time-series illustrate the different conclusions that can emerge when the fuzzy regression filter and the HP filter are each applied to extract the cycle.
    Keywords: Fuzzy filter, fuzzy clustering, business cycle, trend extraction, HP filter
    JEL: C19 C22 E32
    Date: 2004–12–29
    URL: http://d.repec.org/n?u=RePEc:vic:vicewp:0406&r=cmp
  4. By: Bharat M. Upadhyay (Agriculture & Agri-Food Canada); Douglas L. Young (Washington State University)
    Abstract: Roy’s safety-first rule is used to provide measures popular with farmers of short and long term business risk associated with various no-till transition strategies over an investment horizon. The short run rule provided more sensitivity to inter-year financial risk than other commonly used criteria. Results revealed that speed of adoption influenced the probability of successful transition more than did the sequence of drill acquisition methods. Higher equity and larger farms had a greater chance of transition success. Slow acreage expansion with a custom or rental drill reduces risk until a no-till yield penalty is eliminated.
    Keywords: Investment risk, Monte Carlo simulation, no-till, rent- purchase, risk, safety-first, technology adoption, transition strategy
    JEL: Q12 Q19
    Date: 2004–12–29
    URL: http://d.repec.org/n?u=RePEc:wpa:wuwpot:0412002&r=cmp
  5. By: Jesus Fernandez-Villaverde (Department of Economics, University of Pennsylvania); Juan F. Rubio-Ramirez (Federal Reserve Bank of Atlanta); S. Boragan Aruoba (Department of Economics, University of Maryland)
    Abstract: This paper compares solution methods for dynamic equilibrium economies. We compute and simulate the stochastic neoclassical growth model with leisure choice using Undetermined Coefficients in levels and in logs, Finite Elements, Chebyshev Polynomials, Second and Fifth Order Perturbations and Value Function Iteration for several calibrations. We document the performance of the methods in terms of computing time, implementation complexity and accuracy and we present some conclusions about our preferred approaches based on the reported evidence.
    Keywords: Dynamic Equilibrium Economies, Computational Methods, Linear and Nonlinear Solution Methods
    JEL: C63 C68 E37
    Date: 2003–11–23
    URL: http://d.repec.org/n?u=RePEc:pen:papers:04-003&r=cmp
  6. By: Okkerse Liesbet
    Abstract: To get an accurate picture of the effects of migration one needs to take into account all the channels through which immigration affects the economy. Applied general equilibrium analysis seems to be an appropriate tool. The first part of this paper describes in detail the construction and calibration of an applied general equilibrium model. The idea is to help readers interested in building an AGE model themselves to find their way into a widely used instrument for policy analysis. Although the model in this paper is built to simulate the impact of immigration in Belgium it can be applied or adapted to other countries looking at other policy questions. The second part of the paper simulates the effects of immigration within the AGE model. The results show that immigration may lead to impacts while macroeconomically beneficial, have significant adverse distributional implications. It appears that unskilled workers are disadvantaged by the inflow of immigrant households. They are confronted with a severe decline in factor income due to increased competition in the less skilled segment of the labour market. Unskilled households therefore experience a decline in real disposable income. On the contrary, households that are headed by skilled workers appear to benefit from immigration. On the production level all sectors can increase their total output due to immigration. The two sectors gaining most are agriculture and industrial production thereby increasing their market shares. Although construction also uses relatively more less skilled labour its increase in total output is not large enough to improve its market share probably because of the small share in household consumption. Other sectors with decreasing market shares are services and energy which use relatively more higher skilled labour and thus face increasing production costs.
    Date: 2003–07
    URL: http://d.repec.org/n?u=RePEc:ant:wpaper:2003015&r=cmp
  7. By: Wuyts B.; Van Woensel T.; Vandaele N.
    Abstract: The main purpose of this paper is twofold. First, the relationship between .ow and speed is assessed by means of simulation. Second, the e¤ectiveness of some queueing based tra¢ c models with state dependency is tested by comparing their outcomes to the recorded simulation-based results. It appears that the M/G/1 queueing model with gaussian state dependency outperforms all other models.
    Date: 2004–01
    URL: http://d.repec.org/n?u=RePEc:ant:wpaper:2004001&r=cmp
  8. By: De Borger B.; Mayeres I.
    Abstract: In this paper we study the taxation of car ownership, car use and public transport in the presence of externalities within the framework of a discrete/continuous choice model. We first derive optimal taxes in a simplified setting, emphasizing the specific role of fixed car ownership taxes and the relevance of public transport demand by non-car owners for the optimal tax structure. A numerical optimisation model is then constructed to study welfare-optimal public transport fares and two-part tariffs on ownership and use of gasoline and diesel cars in Belgium. Results are as follows. First, the current differences in tax treatment between diesel and gasoline car ownership and car use cannot be justified on the basis of external cost and budgetary considerations. Efficient pricing requires substantial increases in the relative user tax on diesel cars as compared to gasoline cars; optimal fixed taxes are substantially below current levels and only marginally differ between car fuel types, implying a ver y large decrease in the tax on diesel cars. Second, large differences in fixed car taxes do result (i) if for political or technical reasons variable car taxes cannot be optimally adjusted, and (ii) if optimal taxes are implemented but the government uses kilometre taxes as the main variable tax instrument. Third, the results of a series of marginal tax reform exercises suggest that a shift form gasoline towards diesel taxation is welfare improving, both for fixed and variable taxes. Somewhat surprisingly, a shift from fixed towards variable taxes is not necessarily welfare-improving: it is for diesel, but not for gasoline cars.
    Date: 2004–10
    URL: http://d.repec.org/n?u=RePEc:ant:wpaper:2004021&r=cmp
  9. By: Jesus Fernandez-Villaverde (Department of Economics, University of Pennsylvania); Juan F. Rubio-Ramirez (Federal Reserve Bank of Atlanta)
    Abstract: This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a Sequential Monte Carlo filter proposed by Fernández-Villaverde and Rubio-Ramírez (2004) and the Kalman filter. The Sequential Monte Carlo filter exploits the nonlinear structure of the economy and evaluates the likelihood function of the model by simulation methods. The Kalman filter estimates a linearization of the economy around the steady state. We report two main results. First, both for simulated and for real data, the Sequential Monte Carlo filter delivers a substantially better fit of the model to the data as measured by the marginal likelihood. This is true even for a nearly linear case. Second, the differences in terms of point estimates, even if relatively small in absolute values, have important effects on the moments of the model. We conclude that the nonlinear filter is a superior procedure for taking models to the data.
    Keywords: Likelihood-Based Inference, Dynamic Equilibrium Economies, Nonlinear Filtering, Kalman Filter, Sequential Monte Carlo
    JEL: C10 C11 C13 C15
    Date: 2004–01–20
    URL: http://d.repec.org/n?u=RePEc:pen:papers:04-005&r=cmp
  10. By: Elbehri, Aziz; Hertel, Thomas
    Abstract: An applied general equilibrium model with oligopoly and scale economies, based on detailed plant-level data, is used to contrast the impacts of the Morocco-EU free trade area (FTA) to multilateral trade liberalization on Morocco’s economy. Simulation results show that the FTA agreement is likely to have adverse effects on Morocco due to: (a) deteriorating terms of trade, (b) reductions in output per firm in industries dominated by scale economies, (c) diversion of imports away from non-EU suppliers, and (d) potentially adverse effects on the aggregate demand for labor. We contrast this FTA with a multilateral liberalization scenario along the lines of those proposed under the Doha Development Round and find this more beneficial to Morocco, with overall welfare gains due to: (a) lesser terms of trade losses, (b) positive scale effects, (c) non-preferential liberalization of imports into Morocco, and (d) a positive impact on aggregate labor demand. We conclude that Morocco would be better off pursuing trade liberalization in the multilateral arena.
    Date: 2004
    URL: http://d.repec.org/n?u=RePEc:gta:workpp:1643&r=cmp
  11. By: Alexander Ludwig (Mannheim Research Institute for the Economics of Aging (MEA))
    Abstract: This paper modifies standard block Gauss-Seidel iterations used by tatonnement methods for solving large scale deterministic heterogeneous agent models. The composite method between first- and second-order tatonnement methods is shown to considerably improve convergence both in terms of speed as well as robustness relative to conventional first-order tatonnement methods. In addition, the relative advantage of the modified algorithm increases in the size and complexity of the economic model. Therefore, the algorithm allows significant reductions in computational time when solving large models. The algorithm is particularly attractive since it is easy to implement - it only augments conventional and intuitive tatonnement iterations with standard numerical methods.
    Date: 2004–09–10
    URL: http://d.repec.org/n?u=RePEc:xrs:meawpa:0458&r=cmp
  12. By: Oliver Lipps, Frank Betz (Mannheim Research Institute for the Economics of Aging (MEA))
    Abstract: This contribution builds upon a former paper by the authors (Lipps and Betz 2004), in which a stochastic population projection for East- and West Germany is performed. Aim was to forecast relevant population parameters and their distribution in a consistent way. We now present some modifications, which have been modelled since. First, population parameters for the entire German population are modelled. In order to overcome the modelling problem of the structural break in the East during reunification, we show that the adaptation process of the relevant figures by the East can be considered to be completed by now. As a consequence, German parameters can be modelled just by using the West German historic patterns, with the start-off population of entire Germany. Second, a new model to simulate age specific fertility rates is presented, based on a quadratic spline approach. This offers a higher flexibility to model various age specific fertility curves. The simulation results are compared with the scenario based official forecasts for Germany in 2050. Exemplary for some population parameters (e.g. dependency ratio), it can be shown that the range spanned by the medium and extreme variants correspond to the s -intervals in the stochastic framework. It seems therefore more appropriate to treat this range as a s-interval covering about two thirds of the true distribution.
    Date: 2004–09–22
    URL: http://d.repec.org/n?u=RePEc:xrs:meawpa:0459&r=cmp
  13. By: Lulama Ndibongo Traub (Department of Agricultural Economics, Michigan State University); Thomas S. Jayne (Department of Agricultural Economics, Michigan State University)
    Abstract: This article determines the effect of market reform on the size of maize milling/retail margins in South Africa. Simulations indicate that the deregulation of maize meal prices has caused a 16 to 20% increase in the mean retail price of maize meal since 1997.
    Keywords: maize, marketing
    JEL: F14
    Date: 2004
    URL: http://d.repec.org/n?u=RePEc:msu:idpwrk:83&r=cmp
  14. By: Jesus Fernandez-Villaverde (Department of Economics, University of Pennsylvania); Juan F. Rubio-Ramirez (Federal Reserve Bank of Atlanta)
    Abstract: This paper presents a framework to undertake likelihood-based inference in nonlinear dynamic equilibrium economies. We develop a Sequential Monte Carlo algorithm that delivers an estimate of the likelihood function of the model using simulation methods. This likelihood can be used for parameter estimation and for model comparison. The algorithm can deal both with nonlinearities of the economy and with the presence of non-normal shocks. We show consistency of the estimate and its good performance in finite simulations. This new algorithm is important because the existing empirical literature that wanted to follow a likelihood approach was limited to the estimation of linear models with Gaussian innovations. We apply our procedure to estimate the structural parameters of the neoclassical growth model.
    Keywords: Likelihood-Based Inference, Dynamic Equilibrium Economies, Nonlinear Filtering, Sequential Monte Carlo)
    JEL: C10 C11 C13 C15
    Date: 2004–01–06
    URL: http://d.repec.org/n?u=RePEc:pen:papers:04-001&r=cmp

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