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Article
Open AccessA joint impulse response function for vector autoregressive models
Many applications call for measuring the response due to shocks from several variables at once. We introduce a joint impulse response function (jIRF) that is independent of the order of the variables and allow...
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Article
Conditional sum of squares estimation of k-factor GARMA models
We analyze issues related to estimation and inference for the constrained sum of squares estimator (CSS) of the k-factor Gegenbauer autoregressive moving average (GARMA) model. We present theoretical results for ...
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Article
Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall
Quasi-Monte Carlo methods are designed to produce efficient estimates of simulated values but the error statistics of these estimates are difficult to compute. Randomized quasi-Monte Carlo methods have been de...
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Chapter
A Distributed Parallel Genetic Algorithm: An Application from Economic Dynamics
We provide a brief overview of genetic algorithms and describe our distributed parallel genetic algorithm (DPGA) which substantially overcomes the problem of premature convergence often encountered in serial g...
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Article
A distributed parallel genetic algorithm for solving optimal growth models
We use a distributed parallel genetic algorithm (DPGA) to fund numerical solutions to a single state deterministic optimal growth model for both the infinite and finite horizon cases. To evaluate the DPGA we c...
