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on Computational Economics |
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Issue of 2010‒03‒06
ten papers chosen by |
| By: | Makram El-Shagi |
| Abstract: | We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two cointegrated variables. Since disregarding a threshold in cointegration models renders standard approaches to the estimation of the cointegration vectors inefficient, TVECM necessitate a simultaneous estimation of the cointegration vector(s) and the threshold. As far as two cointegrated variables are considered this is commonly achieved by a grid search. However, grid search quickly becomes computationally unfeasible if more than two variables are cointegrated. Therefore, the likelihood function has to be maximized using heuristic approaches. Depending on the precise problem structure the evolutionary approach developed in the present paper for this purpose saves 90 to 99 per cent of the computation time of a grid search. |
| Keywords: | EvolutionaryStrategy,GeneticAlgorithm,TVECM |
| JEL: | C61 C32 |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:iwh:dispap:1-10&r=cmp |
| By: | Boer, P.M.C. de (Erasmus Econometric Institute) |
| Abstract: | We try to argue that in a computable general equilibrium model, household preferences should be modeled by the indirect addilog system (IAS) rather than by the frequently used linear expenditure system (LES). Both systems have the same data requirement and are as easy to implement, but IAS provides for a richer description of preferences. Contrarily to LES, its Engel curves are non-linear and it allows for inferior commodities, elastic demand and gross substitution. LES assigns zero utility to households with expenditure below a positive minimum value, whereas IAS assigns a positive utility, provided zero expenditure is replaced by a small positive number. In micro simulation models where the results of a macro CGE model (with one representative household) are used at micro level, this constitutes a clear advantage of IAS. In the framework of an expenditure survey, we find overwhelming statistical evidence that the IAS indirect utility function is likely to be (much) closer to the true indirect utility function than LES. Consequently, expenditure elasticities and welfare changes are likely to be (much) better estimated by IAS. Simulations with a CGE model for Palestine show that price responses and equivalent variation are considerably higher for IAS than for LES. |
| Date: | 2010–02–23 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:eureir:1765018250&r=cmp |
| By: | Paulo A.L.D. Nunes (University of Venice); Helen Ding (Ca’ Foscari University of Venice and Fondazione Eni Enrico Mattei); Sonja Teelucksingh (ondazione Eni Enrico Mattei and University of the West Indies) |
| Abstract: | This paper reports an original economic valuation of the impact of climate change on the provision of forest regulating services in Europe. To the authors’ knowledge the current paper represents the first systematic attempt to estimate human well-being losses with respect to changes in biodiversity and forest regulating services that are directly driven by climate change. First, selected 34 European countries are grouped by their latitude intervals to capture the differentiated regional effects of forests in response to climate change. Moreover, the future trends of forest areas and stocked carbon in 2050 are projected through the construction and simulation of global circulation models such as HADMC3 following four different future developing paths described by the four IPCC scenarios. Finally, the valuation exercise is anchored in an ecosystem service based approach, involving the use of general circulation models and integrated assessment models. Our findings address two dimensions in the evaluation of climate impacts on European forests: Firstly, future projections yield different states of the world depending upon the IPCC scenario adopted. Secondly, spatial issues matter in an assessment of the distributional impacts of climate change, as these impacts are not distributed in a uniform way across the European countries under consideration. |
| Keywords: | Economic Valuation, Forest Ecosystem, Carbon Sequestration, Climate Change Impacts |
| JEL: | Q23 Q51 Q57 |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2010.10&r=cmp |
| By: | Mazilescu, Vasile |
| Abstract: | For the Semantic Web point of view, computers must have access to structured collections of information and sets of inference rules that they can use to conduct automated reasoning. Adding logic to the Web, the means to use rules to make inferences, choose courses of action and answer questions, is the actual task for the distributed IT community. The real power of Intelligent Web will be realized when people create many programs that collect Web content from diverse sources, process the information and exchange the results with other programs. The first part of this paper is an introductory of Semantic Web properties, and summarises agent characteristics and their actual importance in digital economy. The second part presents the predictability of a multiagent system used in a learning process for a control problem. |
| Keywords: | Semantic Web; agents; fuzzy knowledge; evolutionary computing |
| JEL: | C63 C88 |
| Date: | 2010–02–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:20759&r=cmp |
| By: | Mazilescu, Vasile |
| Abstract: | This paper is the second part of The Semantic Web Paradigm for a Real-time Agent Control, and the goal is to present the predictability of a multiagent system used in a learning process for a control problem (MASLCP). |
| Keywords: | learning process; fuzzy control; agent predictability |
| JEL: | C63 C88 |
| Date: | 2010–02–17 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:20760&r=cmp |
| By: | Elisa Lanzi (School of Advanced Studies in Venice (SSAV) and Fondazione Eni Enrico Mattei (FEEM)); Ian Sue Wing (Dept. of Geography & Environment, Boston University and Joint Program on the Science & Policy of Global Change, MIT) |
| Abstract: | This paper argues for introducing the role of capital malleability into the analysis of environmental policies. The issue is explored by means of a theoretical model, a numerical analysis and a computable general equilibrium (CGE) model. Considering the three approaches together is fundamental in obtaining theory-compatible policy-relevant results. The model outcomes reveal differences between results under separate assumptions regarding the malleability of capital. When capital is imperfectly malleable a carbon policy is less effective than under the assumption of perfect malleability of capital. Therefore, it is important that, especially for the analysis of short-term environmental regulations, the issue of capital malleability is taken into consideration. |
| Keywords: | General Equilibrium, CGE Models, Climate Change Policy |
| JEL: | C68 D58 H22 Q43 |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:fem:femwpa:2010.19&r=cmp |
| By: | Kleijnen, Jack P.C. (Tilburg University, Center for Economic Research) |
| Abstract: | I start this contribution with an overview of my personal involvement—as an Operations Research consultant—in several engineering case-studies that may raise ethical questions; these case studies employ simulation models. Next, I present an overview of the recent literature on ethical issues in modeling, focusing on the validation of the model’s assumptions; the decisive role of these assumptions leads to the quest for robust models. Actually, models are meant to solve practical problems; these problems may have ethical implications for the various stakeholders; namely, modelers, clients, and the public at large. Finally, I briefly discuss whistle blowing. |
| Keywords: | ethics;code of conduct;stakeholders;validity;risk analysis;simulation;operations research |
| JEL: | Z00 Z13 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:kubcen:201009&r=cmp |
| By: | Jonathan Gruber |
| Abstract: | This paper reviews the issues around and impacts of the tax exclusion for employer-sponsored insurance. After reviewing the arguments for and against this policy, I present micro-simulation evidence on the federal revenue, insurance coverage, and distributional impacts of various reforms to the exclusion. |
| JEL: | H2 I1 |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:15766&r=cmp |
| By: | Vladimir Kuzin; Franziska M. Bremus |
| Abstract: | We use a life cycle model of consumption and portfolio choice to study the effects of social security on the investment decisions of households for the European case. Our model is mainly based on the one developed by Cocco, Gomes, and Maenhout (2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states. In contrast to most models in the life cycle literature, our model allows for three different states, namely employment, short-term as well as long-term unemployment. This allows us to examine the effects of persistence in the unemployment process on portfolio choice. Our main findings are, first, that in case of short-term unemployment only, social security systems as those established in the EU are able to offset the negative impact of unemployment risk on the portfolio-share invested in risky assets. Second, the simulation results reveal that when allowing for long-term unemployment the equity-share is suppressed, especially for young investors. We show that this negative effect of unemployment is mainly driven by its persistence. |
| Keywords: | Precautionary savings, unemployment insurance, long-term unemployment, income uncertainty |
| JEL: | D91 E21 H31 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp978&r=cmp |
| By: | Eva Dettmann; Claudia Becker; Christian Schmeißer |
| Abstract: | The study contributes to the development of ’standards’ for the application of matching algorithms in empirical evaluation studies. The focus is on the first step of the matching procedure, the choice of an appropriate distance function. Supplementary o most former studies, the simulation is strongly based on empirical evaluation ituations. This reality orientation induces the focus on small samples. Furthermore, ariables with different scale levels must be considered explicitly in the matching rocess. The choice of the analysed distance functions is determined by the results of former theoretical studies and recommendations in the empirical literature. Thus, in the simulation, two balancing scores (the propensity score and the index score) and the Mahalanobis distance are considered. Additionally, aggregated statistical distance functions not yet used for empirical evaluation are included. The matching outcomes are compared using non-parametrical scale-specific tests for identical distributions of the characteristics in the treatment and the control groups. The simulation results show that, in small samples, aggregated statistical distance functions are the better choice for summarising similarities in differently scaled variables compared to the commonly used measures. |
| Keywords: | distancefunctions,matching,microeconometricevaluation,propensity score,simulation |
| JEL: | C14 C15 C52 |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:iwh:dispap:3-10&r=cmp |