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on Computational Economics |
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Issue of 2014‒11‒28
six papers chosen by |
| By: | Koesler, Simon |
| Abstract: | The specification of parameters is a crucial task in the development of economic models. The objective of this paper is to improve the standard parameter specification of computable general equilibrium (CGE) models. On that account, we illustrate how Optimal Fingerprint Detection Methods (OFDM) can be used to identify appropriate values for various parameters. This method originates from climate science and combines a simple model validation exercise with a structured sensitivity analysis. The new approach has three main benefits: 1) It uses a structured optimisation procedure and does not revert to ad-hoc model improvements. 2) It allows to account for uncertainty in parameter estimates by using information on the distribution of parameter estimates from the literature. 3) It can be applied for the specification of a range of parameters required in CGE models, for example for the definition of elasticities or productivity growth rates. |
| Keywords: | CGE modelling,sensitivity analysis,model validation parameter specification,substitution elasticities |
| JEL: | C52 C68 D58 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:14092&r=cmp |
| By: | Matthias Held (Faculty of Finance, WHU - Otto Beisheim School of Management); Marcel Omachel (Faculty of Finance, WHU - Otto Beisheim School of Management) |
| Abstract: | In this note, we propose a method for efficient simulation of paths of latent Markovian state processes in a Markov Chain Monte Carlo setting. Our method harnesses available parallel computing power by breaking the sequential nature of commonly encountered state simulation routines. We offer a worked example that highlights the computational merits of our approach. |
| Keywords: | Bayesian inference, Markov Chain Monte Carlo, Posterior path simulation |
| JEL: | C11 C15 |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:mag:wpaper:140010&r=cmp |
| By: | Roson, Roberto; Sartori, Martina |
| Abstract: | Relatively small sectoral productivity shocks could lead to sizable macroeconomic variability. Whereas most contributions in the literature analyze the issue of aggregate sensitivity using simple general equilibrium models, a novel approach is proposed in this paper, based on stochastic simulations with a global CGE model. We estimate the statistical distribution of the real GDP in 109 countries, assuming that the productivities of the industrial value added composites are identically and independently distributed random variables. We subsequently undertake a series of regressions in which the standard error of the GDP is expressed as a function of variables measuring the “granularity” of the economy, the distribution of input-output trade flows, and the degree of foreign trade openness. We find that the variability of the GDP, induced by sectoral shocks, is basically determined by the degree of industrial concentration as counted by the Herfindhal index of industrial value added. The degree of centrality in inter-industrial connectivity, measured by the standard deviation of second order degrees, is mildly significant, but it is also correlated with the industrial concentration index. After controlling for the correlation effect, we find that connectivity turns out to be statistically significant, although less so than granularity. |
| Keywords: | Aggregate volatility; input-output linkages; intersectoral network; sectoral shocks, granularity; stochastic simulation; computable general equilibrium models |
| JEL: | C15 D58 E32 O57 |
| Date: | 2014–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:59884&r=cmp |
| By: | Golub, Alla; Hertel, Thomas; Rose, Steven |
| Keywords: | ethanol, land use, dynamic model, CGE, Environmental Economics and Policy, Land Economics/Use, Resource /Energy Economics and Policy, |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea14:170230&r=cmp |
| By: | Ferrari, Emanuele; Boulanger, Pierre; Gonzalez-Mellado, Aida; McDonald, Scott |
| Abstract: | The Common Agricultural Policy (CAP) is moving away from coupled payments towards an increasing emphasis on decoupled payments. However current CGE models to study effects of decoupled payments remain limited. This paper introduces the application of a CGE model framework for a comparative analysis of possible effects caused by coupled and decoupled support on agricultural and food sectors in an economy. The CGE model used is the STAGE_AGR which is an extension of the STAGE model containing equations that permit modellers to introduce different system of decoupled payment representation. We have taken as empirical example the case of Ireland for modelling agricultural payments either as fully or partially decoupled. |
| Keywords: | CAP, Decoupling, CGE, Ireland, Agricultural and Food Policy, C68, Q18, |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:ags:aaea14:170397&r=cmp |
| By: | TALARICO, Luca; SÖRENSEN, Kenneth; SPRINGAEL, Johan |
| Abstract: | In this paper, we propose a new metaheuristic to solve the Risk constrained Cash-in-Transit Vehicle Routing Problem (rctvrp). The rctvrp is a variant of the well-known capacitated vehicle routing problem and models the problem of routing vehicles in the cash-in-transit sector. In the rctvrp, the risk associated with a robbery represents a critical aspect that is treated as a limiting factor instead of the vehicle capacity which is typical of capacitated vehicle routing problems. The risk of being robbed is assumed to be proportional both to the amount of cash being transported and the time/distance covered by the vehicle carrying the cash. The maximum vehicle exposure to risk limited by a certain risk threshold. A new metaheuristic, called aLNS (Ant colony heuristic with Large Neighbourhood Search), is described. The aLNS metaheuristic combines the ant colony heuristic for the travelling salesman problem and a large neighbourhood search heuristic within an iterated local search heuristic framework. A new library of rctvrp instances with known optimal solutions is proposed, and split in two sets named set O and set S respectively. The aLNS algorithm is extensively tested on small, medium and large benchmark instances and compared with all existing solution approaches for the rctvrp problem. |
| Keywords: | Vehicle routing, Risk, Security, Cash-in-transit, Metaheuristic |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:ant:wpaper:2014024&r=cmp |