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GTAP Resource #3111

"Correlated Order Three Gaussian Quadratures in Stochastic Simulation Modelling"
by Artavia, Marco, Harald Grethe, Thordis Moeller and Georg Zimmermann

A simple approach to generate correlated order three Gaussian quadratures is presented. It is shown how for stochastic simulation modelling purposes the integration over the n-cube as suggested in Stroud (1957) is not necessary and thus, a simpler integration formula is given. The theory of inducing a desired covariance matrix is presented and three possibilities to do so are demonstrated. The approach described is implemented in a stochastic version of the European Simulation Model (ESIM) which includes 42 correlated stochastic terms in the yield functions. Model results are presented to validate the proposed approach compared to a Monte Carlo based approach as well as to demonstrate the relevance of stochastic simulation modelling.

Resource Details (Export Citation) GTAP Keywords
Category: 2009 Conference Paper
Status: Published
By/In: Presented at the 12th Annual Conference on Global Economic Analysis, Santiago, Chile
Date: 2009
Created: Artavia, M. (4/15/2009)
Updated: Batta, G. (5/11/2009)
Visits: 2,765
- Software and modeling tools
- Calibration and parameter estimation
- European Union

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