nep-cmp New Economics Papers
on Computational Economics
Issue of 2013‒04‒13
twelve papers chosen by
Stan Miles
Thompson Rivers University

  1. A regional computable general equilibrium model for Honduras: Modeling exogenous shocks and policy alternatives By Morley, Samuel; Piñeiro, Valeria
  2. Efficiency and Equity Effects of Taxing the Financial Sector: Lessons from a CGE Model for Belgium By Chisari, Omar; Estache, Antonio; Nicodème, Gaëtan
  3. Equilibrium simulation with microeconometric models. A new procedure with an application to income support policies By Colombino Ugo
  4. Imputing Individual Effects in Dynamic Microsimulation Models. An application of the Rank Method By Richiardi Matteo; Poggi Ambra
  5. Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox By Roberto Casarin; Stefano Grassi; Francesco Ravazzolo; Herman K. van Dijk
  6. Ant Colony Optimization: a literature survey By Marta S.R. Monteiro; Dalila B.M.M. Fontes; Fernando A.C.C. Fontes
  7. Monotonicity-Preserving Bootstrapped Kriging Metamodels for Expensive Simulations. By Kleijnen, Jack P.C.; Beers, W.C.M. van
  8. Strategies and Evolution in the Minority Game: A Multi- Round Strategy Experiment By Jona Linde; Joep Sonnemans; Jan Tuinstra
  9. A microeconometric-computational approach to empirical optimal taxation: outline of a project By Colombino Ugo
  10. Simple Markov-Perfect Industry Dynamics By Nan Yang; Jeffrey Campbell; Jaap Abbring
  11. The Impact of Changes in Health Status: An Economywide Analysis for Australia By George Verikios; Peter B. Dixon; Maureen T. Rimmer; Anthony H. Harris
  12. Financial Time Series Forecasting by Developing a Hybrid Intelligent System By Abounoori, Abbas Ali; Naderi, Esmaeil; Gandali Alikhani, Nadiya; Amiri, Ashkan

  1. By: Morley, Samuel; Piñeiro, Valeria
    Abstract: In this paper we develop a dynamic regional computable general equilibrium (CGE) model for Honduras that incorporates regional disaggregated sectors for agriculture. We undertook this research to address two pressing policy concerns in Honduras. First, what growth strategy should the country follow, given its severe balance of payments constraint and dependence on remittances and the price of oil? Second, what would be the impact on growth of investments in projects to increase agricultural productivity, given the importance of agriculture to the rural poor and to the Honduran economy?
    Keywords: Computable General Equilibrium (CGE) model; Economic development; macroeconomic impacts; Shocks; Economic policy;,
    Date: 2013
  2. By: Chisari, Omar; Estache, Antonio; Nicodème, Gaëtan
    Abstract: This paper assesses the effects of applying VAT or a sales tax on (intermediate or final) sales of the financial sector. It uses a CGE Model calibrated for a small open economy. It highlights the differentiated sectoral and redistributional effects of these taxes and shows the importance of the financial openness of the economy on these results.
    Keywords: Belgium; financial sector; modeling; sales tax; taxation; VAT
    JEL: H20 H25 H30 H87
    Date: 2013–01
  3. By: Colombino Ugo (University of Turin)
    Abstract: Many microeconometric models of discrete labour supply include alternative-specific constants meant to account for (possibly besides other factors) the density or accessibility of particular types of jobs (e.g. part-time jobs vs. full-time jobs). The most common use of these models is the simulation of tax-transfer reforms. The simulation is usually interpr eted as a comparative statics exercise, i.e. the comparison of different equilibria induced by different policy regimes. The simulation procedure, however, typically keeps fixed the estimated alternative-specific constants. In this note we argue that this procedure is not consistent with the comparati ve statics interpretation. Since the constants reflect the number of jobs and since the number of people willing to work changes as a response to the change in tax-transfer regime, the new equilibrium induced by the reform implies that the constants should also change. A structural interpretation of the alternative-specific constants leads to the development of a simulation procedure consistent with the comparative statics interpretation. The procedure is illustrated with a simulation of alternative reforms of the income support policies in Italy.
    Date: 2012–06
  4. By: Richiardi Matteo; Poggi Ambra (University of Turin)
    Abstract: Dynamic microsimulation modeling involves two stages: estimation and forecasting. Unobserved heterogeneity is often considered in estimation, but not in forecasting,beyond trivial cases. Non-trivial cases involve individuals that enter the simulation with a history of previous outcomes. We show that the simple solutions of attributing to these individuals a null effect or a random draw from the estimat ed unconditional distributions lead to biased forecasts, which are often worse than those obtained neglect ing unobserved heterogeneity altogether. We then present a first implementation of the Rank method, a new algorithm for attributing the individual effects to the simulation sample which greatly simplifies those already known in the literature. Out - of - sample validation of our model shows that correctly imputing unobserved heterogeneity significantly improves the quality of the forecasts.
    Date: 2012–09
  5. By: Roberto Casarin (University Ca' Foscari of Venice and GRETA); Stefano Grassi (CREATES, Aarhus University); Francesco Ravazzolo (Norges Bank, and BI Norwegian Business School); Herman K. van Dijk (Erasmus University Rotterdam, and VU University Amsterdam)
    Abstract: This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights are time-varying and may depend on past predictive forecasting performances and other learning mechanisms. The core algorithm is the function DeCo which applies banks of parallel Sequential Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for standard CPU computing and for Graphical Process Unit (GPU) parallel computing. For the GPU implementation we use the Matlab parallel computing toolbox and show how to use General Purposes GPU computing almost effortless. This GPU implementation comes with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore CPU. We show the use of the package and the computational gain of the GPU version, through some simulation experiments and empirical applications.
    Keywords: Density Forecast Combination; Sequential Monte Carlo; Parallel Computing; GPU; Matlab
    JEL: C11 C15 C53 E37
    Date: 2013–04–09
  6. By: Marta S.R. Monteiro (Faculdade de Economia da Universidade do Porto); Dalila B.M.M. Fontes (Faculdade de Economia da Universidade do Porto); Fernando A.C.C. Fontes (Faculdade de Engenharia da Universidade do Porto)
    Abstract: Scientific literature is prolific both on exact and on heuristic solution methods developed to solve optimization problems. Although the former methods have an indisputable theoretical value when it comes to solve large realistic combinatorial optimization problems they are usually associated with large and even prohibitive running times. Heuristic methods, do not guarantee to determine a global optimal solution for a problem but are usually able to find a good solution rapidly, perhaps a local optimum, and require less computational resources. Ant Colony Optimization (ACO) algorithms belong to a class of heuristics based on the behaviour of nature ants. These algorithms have been used to solve many combinatorial optimization problems and have been known to outperform other popular heuristics such as Genetic Algorithms. Therefore, we believe that the number of ACO based algorithms will continue to grow for a long time. The contribution of this work is to provide the reader with a sort of consultation guide for developing ACO algorithms, by presenting a collection of different approaches that can be found in literature, regarding the ACO building blocks.
    Keywords: Ant Colony Optimization, Survey, Heuristics, Combinatorial Optimization Problems
    JEL: C61 C44
    Date: 2012–12
  7. By: Kleijnen, Jack P.C. (Tilburg University); Beers, W.C.M. van (Tilburg University)
    Date: 2013
  8. By: Jona Linde (University of Amsterdam); Joep Sonnemans (University of Amsterdam); Jan Tuinstra (University of Amsterdam)
    Abstract: Minority games are a stylized description of strategic situations with both coordination and competition. These games are widely studied using either simulations or laboratory experiments. Simulations can show the dynamics of aggregate behavior, but the results of such simulations depend on the type of strategies used. So far experiments provided little guidance on the type of strategies people use because the set of possible strategies is very large. We therefore use a multi-round strategy method experiment to directly elicit people's strategies. Between rounds participants can adjust their strategy and test the performance of (possible) new strategies against strategies from the previous round. Strategies gathered in the experiment are subjected to an evolutionary competition. The strategies people use are very heterogeneous although aggregate outcomes resemble the symmetric Nash equilibrium. The strategies that survive evolutionary competition achieve much higher levels of coordination.
    Keywords: minority game; strategy experiment; evolution; simulation
    JEL: C63 C72 C91 D03
    Date: 2013–03–07
  9. By: Colombino Ugo (University of Turin)
    Date: 2012–10
  10. By: Nan Yang (Tilburg University); Jeffrey Campbell (Federal Reserve Bank of Chicago); Jaap Abbring (Tilburg University)
    Abstract: This paper develops a tractable model for the computational and empirical analysis of infinite-horizon oligopoly dynamics. It features aggregate demand uncertainty, sunk entry costs, stochastic idiosyncratic technological progress, and irreversible exit. We develop an algorithm for computing a symmetric Markov-perfect equilibrium quickly by finding the fixed points to a finite sequence of low-dimensional contraction mappings. If at most two heterogenous firms serve the industry, the resuilt is the unique "natural" equilibrium in which a high protability firm never exits leaving behind a low protability competitor. With more than two firms, the algorithm always finds a natural equilibrium. We present a simple rule for checking ex post whether the calculated equilibrium is unique, and we illustrate the model's application by assessing the robustness of Fershtman and Pakes' (2000) finding that collusive pricing can increase consumer surplus by stimulating product development. The hundreds of equilibrium calculations this requires take only a few minutes on an off-the-shelf laptop computer. We also present a feasible algorithm for the model's estimation using the generalized method of moments.
    Date: 2012
  11. By: George Verikios; Peter B. Dixon; Maureen T. Rimmer; Anthony H. Harris
    Abstract: We construct a dynamic, computable general equilibrium model of the Australian economy that incorporates a detailed representation of demographic and health trends of the labour force. We project the economywide effects of changes in the health status of the workforce associated with a change in chronic disease prevalence. Our results show that reductions in chronic disease and the associated rate of health decline of older workers have a much greater effect than similar reductions for younger workers. Traded sectors benefit much more than nontraded sectors, with a consequent improvement in the trade balance and a real depreciation of the exchange rate. The increase in workforce participation also decreases the capital-labour ratio and raises the returns to capital relative to labour.
    Keywords: chronic disease, computable general equilibrium, health status, labour supply
    JEL: C68 I15 J11
    Date: 2013–02
  12. By: Abounoori, Abbas Ali; Naderi, Esmaeil; Gandali Alikhani, Nadiya; Amiri, Ashkan
    Abstract: The design of models for time series forecasting has found a solid foundation on statistics and mathematics. On this basis, in recent years, using intelligence-based techniques for forecasting has proved to be extremely successful and also is an appropriate choice as approximators to model and forecast time series, but designing a neural network model which provides a desirable forecasting is the main concern of researchers. For this purpose, the present study tries to examine the capabilities of two sets of models, i.e., those based on artificial intelligence and regressive models. In addition, fractal markets hypothesis investigates in daily data of the Tehran Stock Exchange (TSE) index. Finally, in order to introduce a complete design of a neural network for modeling and forecasting of stock return series, the long memory feature and dynamic neural network model were combined. Our results showed that fractal markets hypothesis was confirmed in TSE; therefore, it can be concluded that the fractal structure exists in the return of the TSE series. The results further indicate that although dynamic artificial neural network model have a stronger performance compared to ARFIMA model, taking into consideration the inherent features of a market and combining it with neural network models can yield much better results.
    Keywords: Stock Return, Long Memory, NNAR, ARFIMA, Hybrid Models
    JEL: C22 C45 C53 G10
    Date: 2013–01–17

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