nep-cmp New Economics Papers
on Computational Economics
Issue of 2016‒02‒12
eight papers chosen by

  1. On the parameter identifiability problem in Agent Based economical models By Di Molfetta Giuseppe
  2. Lifting economic sanctions on Iran : global effects and strategic responses By Ianchovichina,Elena; Devarajan,Shantayanan; Lakatos,Csilla
  3. Cash management and payment choices: a simulation model with international comparisons By Arango, Carlos; Bouhdaoui, Yassine; Bounie, David; Eschelbach, Martina; Hernández, Lola
  4. Parallelization Experience with Four Canonical Econometric Models using ParMitISEM By Nalan Basturk; Stefano Grassi; Lennart Hoogerheide; Herman K. van Dijk
  5. Interregional Input-Output Matrix for Colombia, 2012 By Eduardo Amaral Haddad; Weslem Rodrigues Faria; Luis Armando Galvis-Aponte; Lucas Wilfried Hahn-De-Castro
  6. Using Split Samples to Improve Inference on Causal Effects By Fafchamps, Marcel; Labonne, Julien
  7. Optimizing Urban Freight Deliveries: From Designing and Testing a Prototype System to Addressing Real Life Challenges By Thomas Baudel; Laetitia Dablanc; Penelope Aguiar-Melgarejo; Jean Ashton
  8. Solution and Estimation Methods for DSGE Models By Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan Francisco; Schorfheide, Frank

  1. By: Di Molfetta Giuseppe
    Abstract: Identifiability of parameters is a fundamental prerequisite for model identification. It concerns uniqueness of the model parameters determined from experimental or simulated observations. This dissertation specifically deals with structural or a priori identifiability: whether or not parameters can be identified from a given model structure and experimental measurements. We briefly present the identifiability problem in linear and non linear dynamical model. We compare DSGE and Agent Based model (ABM) in terms of identifiability of the structural parameters and we finally discuss limits and perspective of numerical protocols to test global identifiability in case of ergodic and markovian economical systems.
    Date: 2016–02
  2. By: Ianchovichina,Elena; Devarajan,Shantayanan; Lakatos,Csilla
    Abstract: This paper uses a global general equilibrium simulation model to quantify the effects of lifting economic sanctions on Iran with and without strategic responses. Iran benefits the most, with average per capita welfare gains ranging from close to 3 percent, in the case when Iran's crude oil exports to the European Union recover to half their pre-embargo level, to 6.5 percent, in the best case of complete recovery of oil exports to the European Union, successful domestic reforms that enable a strong supply response, and increased market access for Iranian exports in developed markets. Iran could achieve benefits close to the upper range if Gulf Cooperation Council oil exporters limit their crude oil exports to support the oil price. If they do nothing, however, the price of oil will decline by 13 percent in the case of complete recovery of oil exports to the European Union, leaving net oil importers better off and net oil exporters worse off.
    Keywords: Currencies and Exchange Rates,Economic Theory&Research,Energy Production and Transportation,Oil Refining&Gas Industry,Transport Economics Policy&Planning
    Date: 2016–02–01
  3. By: Arango, Carlos; Bouhdaoui, Yassine; Bounie, David; Eschelbach, Martina; Hernández, Lola
    Abstract: Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper proposes a simulation model based on two optimal cash management and payment policies in the payments economics literature to explain cash usage. First, cash is preferred to other payment instruments whenever consumers have enough balances at hand. Second, it is optimal for consumers to hold a stock of cash for precautionary reasons. Exploiting survey payment diaries from Canada, France, Germany and the Netherlands, the results of the simulations show that both optimal policies are well suited to understand the high shares of low-value cash payments in Canada, France and Germany. Yet, they do not perform as well in the case of the Netherlands, overestimating the share of low-value cash payments. We discuss how the differences in payment markets across countries may explain the limitations of the two optimal policies. JEL Classification: C61, E41, E47
    Keywords: cash management, international comparison, payment choices
    Date: 2016–01
  4. By: Nalan Basturk (Maastricht University, the Netherlands); Stefano Grassi (University of Kent, United Kingdom); Lennart Hoogerheide (VU University Amsterdam, the Netherlands); Herman K. van Dijk (VU University Amsterdam, Erasmus University Rotterdam, the Netherlands)
    Abstract: This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in Importance Sampling or Metropolis Hastings methods for Bayesian inference on model parameters and probabilities. We present and discuss four canonical econometric models using a Graphics Processing Unit and a multi-core Central Processing Unit version of the MitISEM algorithm. The results show that the parallelization of the MitISEM algorithm on Graphics Processing Units and multi-core Central Processing Units is straightforward and fast to program using MATLAB. Moreover the speed performance of the Graphics Processing Unit version is much higher than the Central Processing Unit one.
    Keywords: finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference
    JEL: C11 C13 C23 C32
    Date: 2016–01–22
  5. By: Eduardo Amaral Haddad; Weslem Rodrigues Faria; Luis Armando Galvis-Aponte (Banco de la República de Colombia); Lucas Wilfried Hahn-De-Castro (Banco de la República de Colombia)
    Abstract: This paper reports on the recent developments in the construction of an interregional input-output matrix for Colombia (IIOM-COL). As part of an ongoing project that aims to update an interregional CGE (ICGE) model for the country, the CEER model, a fully specified interregional input-output database was developed under conditions of limited information. Such database is needed for future calibration of the ICGE model. We conduct an analysis of the intraregional and interregional shares for the average total output multipliers. Furthermore, we also show detailed figures for the output decomposition, taking into account the structure of final demand. Classification JEL:R15
    Keywords: CEER Model, Interregional input-output matrix, Colombia
    Date: 2016–02
  6. By: Fafchamps, Marcel; Labonne, Julien
    Abstract: We discuss a method aimed at reducing the risk that spurious results are published. Researchers send their datasets to an independent third party who randomly generates training and testing samples. Researchers perform their analysis on the former and once the paper is accepted for publication the method is applied to the latter and it is those results that are published. Simulations indicate that, under empirically relevant settings, the proposed method significantly reduces type I error and delivers adequate power. The method – that can be combined with pre-analysis plans – reduces the risk that relevant hypotheses are left untested.
    Keywords: Bonferroni correction; data mining; pre-analysis plan; publication bias
    JEL: C12 C18
    Date: 2016–01
  7. By: Thomas Baudel (IBM); Laetitia Dablanc (IFSTTAR/AME/SPLOTT - Systèmes Productifs, Logistique, Organisation des Transports et Travail - IFSTTAR - Institut Français des Sciences et Technologies des Transports, de l'Aménagement et des Réseaux - PRES Université Paris-Est); Penelope Aguiar-Melgarejo (INSA Lyon - Institut National des Sciences Appliquées Lyon); Jean Ashton (Ecole Polytechnique)
    Abstract: In this article, we present efforts towards building a city-wide freight delivery rounds optimization system aimed at leveraging city traffic information to optimize professional vehicle rounds. This project, called SmartDeliveries, has been developed as part of the OptimodLyon project. We present the system's architecture and general objective. Then we present early evaluations which have led us to identify three main technical challenges to address, but also to quantify the potential productivity gains for its users: 18% in distance savings and 11% in time. This could lead, if the system were to be generalized at the scale of the city, to a reduction in as much as 5% in traffic, and to corresponding savings in emissions, which are the primary motivation of the project leaders. Finally we discuss the remaining challenges to address, from a technical as well as an organizational standpoint, to introduce real life implementation of the system.
    Date: 2015–06–17
  8. By: Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan Francisco; Schorfheide, Frank
    Abstract: This paper provides an overview of solution and estimation techniques for dynamic stochastic general equilibrium (DSGE) models. We cover the foundations of numerical approximation techniques as well as statistical inference and survey the latest developments in the field.
    Keywords: approximation error analysis; Bayesian inference; DSGE model; frequentist inference; GMM estimation; impulse response function matching; likelihood-based inference; Metropolis-Hastings algorithm; minimum distance estimation; particle filter; perturbation methods; projection methods; sequential Monte Carlo
    JEL: C11 C13 C32 C52 C61 C63 E32 E52
    Date: 2015–12

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