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on Computational Economics |
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Issue of 2012‒10‒06
twelve papers chosen by |
| By: | Murat YILDIZOGLU (GREThA, CNRS, UMR 5113); Isabelle SALLE (GREThA, CNRS, UMR 5113) |
| Abstract: | Extensive exploration of simulation models comes at a high computational cost, all the more when the model involves a lot of parameters. Economists usually rely on random explorations, such as Monte Carlo simulations, and basic econometric modelling to approximate the properties of computational models. This paper aims at providing guidelines for the use of a much more parsimonious method, based on an efficient sampling of the parameters space – a design of experiments (DOE), associated with a well-suited metamodel – kriging. We analyze two simple economic models using this approach to illustrate the possibilities offered by it. Our appendix gives a sample of the R-project code that can be used to apply this method on other models. |
| Keywords: | Computational Economics; Exploration of Agent-Based Models; Design of Experiments; Metamodeling |
| JEL: | C61 C63 C80 C90 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:grt:wpegrt:2012-18&r=cmp |
| By: | Eduardo A. Haddad; Alexandre A. Porsse, Paula C. Pereda |
| Abstract: | This paper evaluates the systemic impact of climate variations in a regional perspective using an interregional CGE model integrated with a physical model estimated for agriculture in order to catch the effects of climate change. The climate anomalies are estimated for 2005 and represent deviations over the historic trend. The results of this paper suggest that the economic costs of climate anomalies can be significantly underestimated if only partial equilibrium effects (direct impact/damage) are accounted for. The results show that a general equilibrium approach can provide a better comprehension about the systemic impact of climate anomalies, suggesting the economic costs are higher than those that would be observed in a partial equilibrium analysis. In addition, intersectoral and interregional linkages as well price effects seem to be important transmission channels in the context of systemic impact of climate anomalies. |
| Keywords: | climate anomalies, systemic impact, interregional CGE analysis |
| JEL: | Q54 R13 |
| Date: | 2012–09–15 |
| URL: | http://d.repec.org/n?u=RePEc:spa:wpaper:2012wpecon20&r=cmp |
| By: | Popova, Daria |
| Abstract: | The Russian tax-benefit system consists of numerous types of support available to a large circle of beneficiaries; they are regulated by a number of legislative acts that focus on certain types of assistance rather than on vulnerable groups. In addition, the decentralization reform of social protection carried out in 2005 motivated many regional governments to implement their own social programs that differ in terms of design and generosity. So far, however, little is known about the impact of the tax-benefit policies on income distribution and poverty in Russia. This paper describes the construction of a tax-benefit microsimulation model for Russia (RUSMOD) which is based upon the EUROMOD platform. RUSMOD simulates the eligibility and receipt of most of the existing monetary policies at the federal and regional levels and assesses their potential redistributive effect. This paper aims to provide necessary background material on the construction of the model to anyone wishing to work with RUSMOD. |
| Date: | 2012–09–25 |
| URL: | http://d.repec.org/n?u=RePEc:ese:emodwp:em7-12&r=cmp |
| By: | Francesco P. Deflorio (DIATI - Dipartimento dell'ingegneria dell'ambiente, del territorio e delle infrastrutture - Politecnico di Torino); Jesus Gonzalez-Feliu (LET - Laboratoire d'économie des transports - CNRS : UMR5593 - Université Lumière - Lyon II - Ecole Nationale des Travaux Publics de l'Etat); Guido Perboli (DAUIN - Department of Computer Engineering - Politecnico di Torino); Roberto Tadei (DAUIN - Department of Computer Engineering - Politecnico di Torino) |
| Abstract: | In freight distribution services a required quality level may have a relevant effect on transportation costs. For this reason an evaluation tool is useful to compare different service settings and support the decision, on the base of quantitative indicators. This paper proposes a method for cost evaluation in this context and presents an application to a case study concerning a freight distribution service, which operates on a wide road network having a city centre, a peripheral urban area and a peri-urban rural zone. A simulation method is proposed to obtain real-life scenarios in order to test the method and its indicators. The performance of each indicator has been evaluated in an experimental context to produce realistic test cases, using a trip planning tool and a demand generator. First, the behaviour of the indicators is analysed with regard to the time windows width planned for the service. Then, their ability in estimating the total transportation cost to satisfy all the requests, under different time period profiles, is shown. The results confirm the ability of the set of indicators to predict with a good approximation the transportation costs and therefore to be used in supporting the service quality planning decisions. |
| Keywords: | urban freight distribution; compatibility indicators; evaluation method; simulation; real-life applications |
| Date: | 2012–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-00736428&r=cmp |
| By: | Nalan Basturk (Erasmus University Rotterdam); Lennart Hoogerheide (VU University Amsterdam); Anne Opschoor (Erasmus University Rotterdam); Herman K. van Dijk (EUR & VU) |
| Abstract: | This paper presents the R package MitISEM, which 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. The package provides also an extended MitISEM algorithm, ‘sequential MitISEM’, which substantially decreases the computational time when the target density has to be approximated for increasing data samples. This occurs when the posterior distribution is updated with new observations and/or when one computes model probabilities using predictive likelihoods. We illustrate the MitISEM algorithm using three canonical statistical and econometric models that are characterized by several types of non-elliptical posterior shapes and that describe well-known data patterns in econometrics and finance. We show that the candidate distribution obtained by MitISEM outperforms those obtained by ‘naive’ approximations in terms of numerical efficiency. Further, the MitISEM approach can be used for Bayesian model comparison, using the predictive likelihoods. |
| Keywords: | finite mixtures; Student-t distributions; Importance Sampling; MCMC; Metropolis-Hastings algorithm; Expectation Maximization; Bayesian inference; R software |
| JEL: | C11 C15 |
| Date: | 2012–09–20 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:uvatin:20120096&r=cmp |
| By: | Joel Smith; Becca Wang |
| Keywords: | documentation, MATH SIPP+, 2012 Baseline, model, technical working paper |
| JEL: | I3 I0 I1 |
| Date: | 2012–03–23 |
| URL: | http://d.repec.org/n?u=RePEc:mpr:mprres:7542&r=cmp |
| By: | C. MARBOT (Insee); D. ROY (Insee) |
| Abstract: | Confronted with an ageing population, developed countries are facing the challenge of providing care to a growing number of disabled elderly people. Knowing how many they will be and, given the current pensions and welfare systems, how much it will cost to care for them is crucial to policymakers. The INSEE pensions microsimulation tool (called Destinie) was extended in 2011 to elderly disability, in preparation for a reform of the funding of elderly disability in France. Microsimulation at the individual level allows to take into account expected changes in the distribution of variables that influence the process under study. It also allows to simulate allowances based on complex, non-linear scales that require calculation at the individual level. This document describes the implementation method and the results of the forecasts. First, on the characteristics of the disabled elderly and presence of caregivers. Then, several alternative scenarios are studied and yield a range of estimates of the future cost of the allowance for elderly disability, ranging from 0.54% of GDP in the most optimistic scenario to 0.71% of GDP in the most pessimistic one. |
| Keywords: | Microsimulation, forecasts, elderly disability, APA |
| JEL: | I18 H51 J14 C53 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:crs:wpdeee:g2012-10&r=cmp |
| By: | Nikolay Aleksandrov; Raphael Espinoza; Lajos Gyurko |
| Abstract: | We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserves. Optimal extraction in the baseline model is found to be volatile. If the oil producer is risk averse, production is more stable, but spare capacity is much higher than what is typically observed. We show that decisions are very sensitive to expectations on the equilibrium oil price using a mean reverting model of the oil price where the equilibrium price is also a random variable. Oil production was cut during the 2008-09 crisis and we find that the cut in production was larger for OPEC, for countries facing a lower discount rate, as predicted by the model, and for countries whose governments' finances are more dependent on oil revenues. However, the net present value of a country's oil reserves would be increased significantly (by 100 percent, in the most extreme case) if production was cut completely when prices fall below the country's threshhold price. If several producers were to adopt such strategies, world oil prices would be higher but more stable. |
| Keywords: | Oil production, Real Options, Capacity Expansion, Equilibrium Price of Oil, OPEC |
| JEL: | C61 Q30 Q43 |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:oxf:oxcrwp:092&r=cmp |
| By: | Ricardo Argüello |
| Abstract: | Resumen: Algunos cambios recientes en la política agrícola en Colombia se han orientado hacia la implementación de medidas de apoyo directo a los productores, con el fin de proteger su ingreso y fomentar una mayor competitividad del sector. No obstante, estimaciones acerca del impacto esperado de este tipo de instrumentos, medido en términos de cambios en el valor agregado, indican que este es reducido. Como quiera que la política emplea diferentes instrumentos para el logro de sus objetivos, surge la pregunta de cuál es el grado de dependencia que los resultados esperados presentan respecto a la forma como los recursos son asignados a dichos instrumentos. Este estudio utiliza un modelo de equilibrio general computable para explorar este problema, para un conjunto de tres de los principales instrumentos de política utilizados en la actualidad, en un contexto de corto plazo. Los resultados indican que, en presencia de rigideces de corto plazo y, en particular, de inmovilidad del capital entre actividades productivas, todos los instrumentos de política llevan a la obtención de resultados modestos y que, en un escenario de mediano y largo plazo, el comportamiento de la inversión parece ser crítico para la obtención de impactos más significativos y para el logro de los objetivos de política buscados. Abstract: Recent changes in Colombian agricultural policy have focused on implementing domestic support measures aimed at protecting farmers' income and enhancing sectoral productivity. However, estimates of expected impacts arising from the policy, measured as changes in value added, are small. As the policy uses several instruments for achieving its objectives, the question arises as to whether estimated impacts are dependent upon the way resources are allocated among them. We explore this issue for a set of three of the main policy instruments employed by the Colombian government, in a short run context, by means of a Computable General Equilibrium model. Our results indicate that in the presence of short term rigidities, specially capital fixity, all policy instruments lead to small estimated effects and that in a longer run scenario the behavior of investment seems critical for attaining more significant impacts and a better potential for reaching the policy's objectives. |
| Date: | 2012–09–25 |
| URL: | http://d.repec.org/n?u=RePEc:col:000092:009995&r=cmp |
| By: | Jesse Rothstein |
| Abstract: | Recent proposals would strengthen the dependence of teacher pay and retention on performance, in order to attract those who will be effective teachers and repel those who will not. I model the teacher labor market, incorporating dynamic self-selection, noisy performance measurement, and Bayesian learning. Simulations indicate that labor market interactions are important to the evaluation of alternative teacher contracts. Typical bonus policies have very small effects on selection. Firing policies can have larger effects, if accompanied by substantial salary increases. However, misalignment between productivity and measured performance nearly eliminates the benefits while preserving most of the costs. |
| JEL: | I21 J33 |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:18419&r=cmp |
| By: | Mani, Muthukumara; Markandya, Anil; Sagar, Aarsi; Sahin, Sebnem |
| Abstract: | One of the key environmental problems facing India is that of particle pollution from the combustion of fossil fuels. This has serious health consequences and with the rapid growth in the economy these impacts are increasing. At the same time, economic growth is an imperative and policy makers are concerned about the possibility that pollution reduction measures could reduce growth significantly. This paper addresses the tradeoffs involved in controlling local pollutants such as particles. Using an established Computable General Equilibrium model, it evaluates the impacts of a tax on coal or on emissions of particles such that these instruments result in emission levels that are respectively 10 percent and 30 percent lower than they otherwise would be in 2030. The main findings are as follows: (i) A 10 percent particulate emission reduction results in a lower gross domestic product but the size of the reduction is modest; (ii) losses in gross domestic proudct from the tax are partly offset by the health gains from lower particle emissions; (iii) the taxes reduce emissions of carbon dioxide by about 590 million tons in 2030 in the case of the 10 percent reduction and 830 million tons in the case of the 30 percent reduction; and (iv) taken together, the carbon dioxide reduction and the health benefits are greater than the loss of gross domestic product in both cases. |
| Keywords: | Environmental Economics&Policies,Climate Change Mitigation and Green House Gases,Climate Change Economics,Energy Production and Transportation,Environment and Energy Efficiency |
| Date: | 2012–09–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:6208&r=cmp |
| By: | Alessio Emanuele Biondo; Alessandro Pluchino; Andrea Rapisarda |
| Abstract: | In this paper we focus on the beneficial role of random strategies in social sciences by means of simple mathematical and computational models. We briefly review recent results obtained by two of us in previous contributions for the case of the Peter principle and the efficiency of a Parliament. Then, we develop a new application of random strategies to the case of financial trading and discuss in detail our findings about forecasts of markets dynamics. |
| Date: | 2012–09 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1209.5881&r=cmp |