|
on Computational Economics |
|
Issue of 2008‒12‒07
six papers chosen by |
| By: | Ali Choudhary (University of Surrey and State Bank of Pakistan); Adnan Haider (State Bank of Pakistan) |
| Abstract: | We assess the power of artificial neural network models as forecasting tools for monthly inflation rates for 28 OECD countries. For short out-of-sample forecasting horizons, we find that, on average, for 45% of the countries the ANN models were a superior predictor while the AR1 model performed better for 21%. Furthermore, arithmetic combinations of several ANN models can also serve as a credible tool for forecasting inflation. |
| Keywords: | Artificial Neural Networks; Forecasting; Inflation |
| JEL: | C51 C52 C53 E31 E37 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:sur:surrec:0808&r=cmp |
| By: | Cars Hommes; Thomas Lux |
| Abstract: | Models with heterogeneous interacting agents explain macro phenomena through interactions at the micro level. We propose genetic algorithms as a model for individual expectations to explain aggregate market phenomena. The model explains all stylized facts observed in aggregate price fluctuations and individual forecasting behaviour in recent learning to forecast laboratory experiments with human subjects (Hommes et al. 2007), simultaneously and across different treatments |
| Keywords: | Learning, heterogeneous expectations, genetic algorithms, experimental economics |
| JEL: | C91 C92 D83 D84 E3 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieliw:1466&r=cmp |
| By: | Strid, Ingvar (Dept. of Economic Statistics, Stockholm School of Economics) |
| Abstract: | Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based on the idea of evaluating the posterior in parallel and ahead of time. In this paper improved Metropolis-Hastings prefetching algorithms are presented and evaluated. It is shown how to use available information to make better predictions of the future states of the chain and increase the efficiency of prefetching considerably. The optimal acceptance rate for the prefetching random walk Metropolis-Hastings algorithm is obtained for a special case and it is shown to decrease in the number of processors employed. The performance of the algorithms is illustrated using a well-known macroeconomic model. Bayesian estimation of DSGE models, linearly or nonlinearly approximated, is identified as a potential area of application for prefetching methods. The generality of the proposed method, however, suggests that it could be applied in many other contexts as well. |
| Keywords: | Prefetching; Metropolis-Hastings; Parallel Computing; DSGE models; Optimal acceptance rate |
| JEL: | C11 C13 C63 |
| Date: | 2008–12–02 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:hastef:0706&r=cmp |
| By: | Peter Marko (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic); Petr Svarc (Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic) |
| Abstract: | In this article we extend the agent-based model of firms’ formation and growth proposed in [4]. In [4] the firms‘ creation, expansion or contraction results from the interaction of heterogeneous utility maximizers. While the original model was able to replicate the power law distribution in the firms’ sizes agents in the model set their utility maximizing effort levels completely freely and undetected. This led to the emergence of free riding and influenced the overall dynamics of the model. Therefore we decided to extend the original model by introducing the monitoring which is seen in the economic literature, besides for example the proper incentive scheme ([18]), as a possible way how to make employees work harder. Our motivation is to compare the extended model with both to the original case without monitoring and empirical data about firms‘ sizes distribution. |
| Keywords: | monitoring, firms‘ size, power law, agent-based model, simulation,heterogeneous agents |
| JEL: | L11 C15 C16 |
| Date: | 2008–11 |
| URL: | http://d.repec.org/n?u=RePEc:fau:wpaper:wp2008_31&r=cmp |
| By: | Alvaro Calzadilla; Katrin Rehdanz; Richard S.J. Tol (Economic and Social Research Institute) |
| Abstract: | Water problems are typically studied at the farm-level, the river–catchment-level or the country-level. About 70% of irrigation water is used for agriculture, and agricultural products are traded internationally. A full understanding of water use is impossible without understanding the international market for food and related products, such as textiles. Based on the global general equilibrium model GTAP-W, we offer a method for investigating the role of green (rain) and blue (irrigation) water resources in agriculture and within the context of international trade. Since problems related to groundwater availability are getting more severe in the future, we analyze the impact of different water use options for 2025 where data is readily available. We run two alternative scenarios. The first, called water crisis scenario, explores a deterioration of current trends and policies in the water sector. The second scenario, called sustainable water use scenario, assumes an improvement in policies and trends in the water sector and eliminates groundwater overdraft worldwide, increasing water allocation for the environment. In both scenarios, welfare gains or losses are not only associated with changes in agricultural water consumption. Under the water crisis scenario, welfare not only rises for regions where water consumption increases (China, South East Asia and the USA). Welfare gains are considerable for Japan and South Korea, Southeast Asia and Western Europe as well. These regions benefit from higher irrigated production and lower food prices. Alternatively, under the sustainable water use scenario, welfare losses not only affect regions where overdrafting is occurring. Welfare decreases in other regions as well. These results indicate that, for water use, there is a clear trade-off between economic welfare and environmental sustainability. |
| Keywords: | Agricultural Water Use, Computable General Equilibrium, Groundwater Use, Irrigation, Sustainable Water Use, Water Scarcity |
| JEL: | D58 Q17 Q25 |
| Date: | 2008–12 |
| URL: | http://d.repec.org/n?u=RePEc:sgc:wpaper:169&r=cmp |
| By: | Manoj Atolia (Department of Economics, Florida State University); Yoshinori Kurokawa (Department of Economics, SUNY, Buffalo) |
| Abstract: | It can be theoretically shown that variety trade can be a possible source of increased skill premium in wages. No past studies, however, have empirically quantified how much of the increase in skill premium can be accounted for by the increase in variety trade. This paper now formulates a static general equilibrium model and then calibrates it to the Mexican input-output matrix for 1987. In the calibrated model, our numerical experiments show that the increase in U.S.-Mexican variety trade can explain approximately 12 percent of the actual increase in skill premium in Mexico from 1987 to 2000. |
| Keywords: | Variety Trade, Skill Premium, Variety-Skill Complementarity, Calibrated General Equilibrium Model, Mexico |
| JEL: | F12 F16 |
| Date: | 2008–10 |
| URL: | http://d.repec.org/n?u=RePEc:fsu:wpaper:wp2008_11_03&r=cmp |