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on Computational Economics |
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Issue of 2006‒03‒18
nine papers chosen by |
| By: | VICTOR AGUIRREGABIRIA (Department of Economics, Boston University); PEDRO MIRA (Centro de Estudios Monetarios y Financieros (CEMFI)) |
| Abstract: | This paper proposes an algorithm to obtain maximum likelihood estimates of structural parameters in discrete games with multiple equilibria. The method combines a genetic algorithm (GA) with a pseudo maximum likelihood (PML) procedure. The GA searches efficiently over the huge space of possible combinations of equilibria in the data. The PML procedure avoids the repeated computation of equilibria for each trial value of the parameters of interest. To test the ability of this method to get maximum likelihood estimates, we present a Monte Carlo experiment in the context of a game of price competition and collusion. |
| Keywords: | Empirical games, Maximum likelihood estimation, Multiple equilibria, Genetic algorithms |
| JEL: | C13 C35 |
| Date: | 2005–01 |
| URL: | http://d.repec.org/n?u=RePEc:bos:wpaper:wp2005-001&r=cmp |
| By: | Junjian Miao (Department of Economics, Boston University); Manuel Santos (Department of Economics, W. P. Carey School of Business) |
| Abstract: | This paper presents a recursive method for the computation of sequential competitive equilibria in dynamic models with heterogeneous agents and market frictions. This computational method builds on a convergent operator defined over an expanded set of state variables for which a Markovian equilibrium solution is shown to exist. We apply this method to a stochastic growth economy and two financial economies. |
| Date: | 2005–01 |
| URL: | http://d.repec.org/n?u=RePEc:bos:wpaper:wp2005-003&r=cmp |
| By: | Nguyen Chan; Tran Kim Dung |
| Abstract: | This paper evaluates the efficiency and distributional effects of trade liberalization in the context of fiscal reform in Vietnam. The analysis is performed using a computable general equilibrium (CGE) model of the Vietnamese economy calibrated to late- 1990s production and household data. It is a standard small open price taking economy model with CES nested demand and CES production functions. Results show that the efficiency gains (in term of aggregate welfare measure) from the combined tax and tariff reform are modest, but significant redistribution occurs among rich and poor household groups and between urban and rural populations. Careful analyses show that the sharpness of the redistribution falls as the country moves from only trade liberalization the combined tax and tariff reforms. Finally, additional simulations have been performed to make clearer the transmission mechanisms linking tariff policy to income distribution and household welfare. A key finding is that trade liberalization is pro-rich due essentially to the higher share of imported goods consumed by the rich. |
| Keywords: | CGE model, counterfactual simulations, distributional effects, efficiency, household welfare, tariff, tax reform, trade liberalization, VAT, Vietnam |
| JEL: | R13 R20 C68 D58 D63 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:lvl:mpiacr:2006-02&r=cmp |
| By: | Basanta K. Pradhan; Sahoo Amarendra |
| Abstract: | A 28-sector, 3-factor and 9-household group Computable General Equilibrium (CGE) model for India is constructed to analyze the impacts of Tariffs and Non-tariff Barriers (NTBs) on the welfare and poverty of socio-economic household groups. A general cut in tariffs leads to a decrease in overall welfare and reduction in poverty, which urban households are in a relatively better position to address. The choice of a fiscal compensatory mechanism with indirect tax on domestic consumption does not substantially change the pattern of impact except that it increases overall poverty in the economy. On the other hand, quota reductions on agriculture and food products result in a gain in welfare and a bigger reduction of poverty, with rural households doing better than urban households. |
| Keywords: | Computable general equilibrium (CGE) model, microsimulations, International trade, poverty, India |
| JEL: | D33 D58 E27 F13 F14 I32 O15 O53 |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:lvl:mpiacr:2006-01&r=cmp |
| By: | Boer-Sorban, K.; Kaymak, U.; Spiering, J. (Erasmus Research Institute of Management (ERIM), RSM Erasmus University) |
| Abstract: | Most agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modelling of financial markets. We study the behaviour of a learning market maker in a market with information asymmetry, and investigate the difference caused in the market dynamics between the discrete-time simulation and continuous-time, asynchronous simulation. We show that the characteristics of the market prices are different in the two cases, and observe that additional information is being revealed in the continuous-time, asynchronous models, which can be acted upon by the agents in such models. Since most financial markets are continuous and asynchronous in nature, our results indicate that explicit consideration of this fundamental characteristic of financial markets cannot be ignored in their agent-based modelling. |
| Keywords: | Agent-Based Computational Finance;Artificial Stock Markets;Market Microstructure;Glosten and Milgrom Model;Informational Asymmetry;Continuous Trading;Autonomous Behaviour; |
| Date: | 2006–03–06 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:eureri:30008041&r=cmp |
| By: | Tesfatsion, Leigh S. |
| Abstract: | This chapter explores the potential advantages and disadvantages of Agent-based Computational Economics (ACE) for the study of economic systems. General points are concretely illustrated using an ACE model of a two-sector decentralized market economy. Six issues are highlighted: Constructive understanding of production, pricing, and trade processes; the essential primacy of survival; strategic rivalry and market power; behavioral uncertainty and learning; the role of conventions and organizations; and the complex interactions among structural attributes, behaviors, and institutional arrangements. |
| JEL: | B4 C0 C6 D0 |
| Date: | 2006–03–06 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:12514&r=cmp |
| By: | John Stachurski |
| Abstract: | This paper studies the convergence properties of a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov chain with absolutely continuous transition probabilities. We show that the L1 error of the estimator always converges to zero with probability one. In addition, rates of convergence are established for L1 and integral mean squared errors. The algorithm is shown to have many applications in economics. |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:mlb:wpaper:949&r=cmp |
| By: | Axelrod, Robert; Tesfatsion, Leigh S. |
| Abstract: | This guide provides pointers to introductory readings, software, and other materials to help newcomers become acquainted with agent-based modeling in the social sciences. |
| Keywords: | Agent-based modeling, resource guide |
| JEL: | B4 C0 C6 D0 |
| Date: | 2006–03–06 |
| URL: | http://d.repec.org/n?u=RePEc:isu:genres:12515&r=cmp |
| By: | Eric Swanson; Gary Anderson; Andrew Levin |
| Abstract: | We present an algorithm and software routines for computing nth order Taylor series approximate solutions to dynamic, discrete-time rational expectations models around a nonstochastic steady state. The primary advantage of higher-order (as opposed to first- or second-order) approximations is that they are valid not just locally, but often globally (i.e., over nonlocal, possibly very large compact sets) in a rigorous sense that we specify. We apply our routines to compute first- through seventh-order approximate solutions to two standard macroeconomic models, a stochastic growth model and a life-cycle consumption model, and discuss the quality and global properties of these solutions. |
| Keywords: | Macroeconomics - Econometric models ; Business cycles ; Monetary policy |
| Date: | 2006 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedfwp:2006-01&r=cmp |