Time Series Simulation With Quasi Monte Carlo Methods

J.X. Li and Peter Winker

Working Papers from Pennsylvania State - Department of Economics

Abstract: This paper compares quasi Monte Carlo methods, in particular so-called (t,m,s)-Nets, with classical Monte Carlo approaches for simulating econometric time-series.

Keywords: TIME SERIES; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C10 C15 C20 C22 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2000
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Related works:
Journal Article: Time Series Simulation with Quasi Monte Carlo Methods (2003)
Journal Article: Time Series Simulation with Quasi Monte Carlo Methods (2003)
Working Paper: TIME SERIES SIMULATION WITH QUASI-MONTE CARLO METHODS (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pensta:9-00-1

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