AND STOCHASTIC OPTIMIZATION ALGORITHMS FOR UNIFORM DESIGNS WITH THREE OR FOUR LEVELS (2008)
Lower Bounds, Kai-tai Fang, Dietmar Maringer, Yu Tang, Peter Winker
Abstract. New lower bounds for three- and four-level designs under the centered L2-discrepancy are provided. We describe necessary conditions for the existence of a uniform design meeting these lower...
Indirect Estimation of the Parameters of Agent Based Models of Financial Markets 1 (2008)
Agent based models take into account limited rational behaviour of individuals acting on financial markets.Explicit simulation of this behaviour and the resulting interaction of individuals provide a...
An efficient branch-and-bound strategy for subset Vector Autoregressive model selection (2008)
Gatu, Cristian, Kontoghiorghes, Erricos J., Gilli, Manfred, Winker, Peter
Journal of Economic Dynamics & Control Vol.32 Nr.6, 1949 - 1963
Winker, Peter, Preußner, Christoph
Im Zuge der massiven Preissteigerung für fossile Energieträger und der Diskussion um den durch Treibhausgase induzierten Klimawandel erscheint die Nutzung regenerativer Energieträger auch in...
A statistical approach to detect cheating interviewers (2008)
Bredl, Sebastian, Winker, Peter, Kötschau, Kerstin
Survey data are potentially affected by cheating interviewers. Even a small number of fabricated interviews might seriously impair the results of further empirical analysis. Besides reinterviews some...
Winker, Peter, Preußner, Christoph
It seems that the use of renewable energy sources, even on a larger scale, is an obvious energy alternative, given massive price increases for fossil fuels and the discussion surrounding greenhouse...
Fred J. Hickernell, Peter Winker
Abstract. There are many problems in statistics that need some powerful global optimization methods. This paper reviews two efficient methods: SNTO (sequential number-theoretic methods for...
Kai-tai Fang, Chang-xing Ma, Peter Winker
. In this paper properties and construction of designs under a centered version of the L2 --discrepancy are analyzed. The theoretic expectation and variance of this discrepancy are derived for random...
Indirect Estimation of the Parameters of Agent Based Models of Financial Markets 1 (2007)
Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide...
Application Of Threshold-Accepting To The Evaluation Of The Discrepancy Of A Set Of Points (1997)
. E#cient routines for multidimensional numerical integration are provided by quasi-- Monte Carlo methods. These methods are based on evaluating the integrand at a set of representative points of the...
Optimal Lag Structure Selection in VEC-Models
Dietmar Maringer, Peter Winker
For modelling economic and financial time series, multivariate linear and nonlinear systems of equations have become a standard tool. These models can also be applied to non-stationary processes....
The Economics of Crime: Investigating the Drugs-Crime Channel
The rising trends both in drug addiction and crime rates are of major public concern in Germany. Surprisingly, the economic theory of crime seems to ignore the drugs-crime nexus, whereas the...
The rising trends both in drug addiction and crime rates are of major public concern in Germany. Surprisingly, the economic theory of crime seems to ignore the drugs-crime nexus, whereas the...
An Objective Function for Simulation Based Inference on Exchange Rate Data
Manfred Gilli, Peter Winker, Vahidin Jeleskovic
The assessment of models of financial market behaviour requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent based microsimulation models or multifractal...
Franz, Wolfgang, Göggelmann, Klaus, Winker, Peter
Gegenstand dieses Beitrags ist eine quantitativ orientierte Diskussion einiger Wirkungen einer Umstrukturierung des Steuersystems anhand der neuesten und wesentlich erweiterten Version des Konstanzer...
Quasi - Monte Carlo Methods in Stochastic Simulations
Franz, Wolfgang, Göggelmann, Klaus, Schellhorn, Martin, Winker, Peter
Different stochastic simulation methods are used in order to check the robustness of the outcome of policy simulations with a macroeconometric model. A macroeconometric disequilibriummodel of the...
Buscher, Herbert S., Buslei, Hermann, Göggelmann, Klaus, Koschel, Henrike, Ramb, Fred, Schmidt, Tobias F. N., ...
In the paper we simulate a revenue-neutral cut in the social security contribution rate using five different types of macro- / microeconomic models, namely two models based on time-series data where...
International spillovers and feedback : modelling in a disequilibrium framework
German unifikation hit the West German economy in a prosperous and appeared as a huge demand shock at least for the first few quarters. This combination resulted in a major increase of imports from...
Firms may face financing constraints as a result of rational behaviour of potential lenders due to asymmetric information. In this article, a theoretical model of employment adjustment is developed...
Radowski, Daniel, Smolny, Werner, Winker, Peter
The macroeconomic development in West Germany in the aftermath of unification was characterized by a boom period in 1990/1991, a deep recession in 1992/1993 and a slow recovery since then. In East...
Modeling German unification in a disequilibrium framework
Winker, Peter, Smolny, Werner, Radowski, Daniel
Unification fundamentally changed the terms of quantitative macroeconomic analysis for Germany. Two main areas concerned are data availability for the eastern part of Germany and structural changes...
Optimal Industrial Classification in a Dynamic Model of Price Adjustment
It is common practice in econometrics to base a model to be applied to data on pure theory, and yet to replace the variables of the pure theory by aggregates of them. But if one must aggregate, there...
Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
Agent Based Models, Validation, Optimization Heuristics
TIME SERIES SIMULATION WITH QUASI-MONTE CARLO METHODS
The purpose of this paper is to compare the use of quasi-Monte Carlo methods, in particular the so--called $(t,m,s)-nets$ technique, versus classical Monte Carlo approaches for the simulation of...
Time Series Simulation with Quasi Monte Carlo Methods
This paper compares quasi Monte Carlo methods, in particular so-called (t, m, s)-nets, with classical Monte Carlo approaches for simulating econometric time-series models. Quasi Monte Carlo methods...
Causes and Effects of Financing Constraints at the Firm Level.
This paper focuses on the empirical assessment of determinants and effects of financing constraints at the firm level. Using a standard model of credit rationing based on asymmetric information firm...
Efficient Labour Contracts: Impediments and How to Circumvent Them
Efficient labour contracts on wages and employment could contribute to a reduction in unemployment in Europe. Their implementation is hindered by institutional settings and asymmetric incentives at...
Buscher, Herbert S., Buslei, Hermann, Goggelmann, Klaus, Koschel, Henrike, Schmidt, Tobias F. N., Steiner, Viktor, ...
Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interac-tion of individuals provide...
An Objective Function for Simulation Based Inference on Exchange Rate Data
Peter Winker, Manfred Gilli, Vahidin Jeleskovic
The assessment of models of financial market behavior requires evaluation tools. When complexity hinders a direct estimation approach, e.g., for agent basedmicrosimulationmodels or complex...
Optimal Industrial Classification: An Application to the German Industrial Classification System
A widely used method in the analysis of large-scale econometric models is to replace the ``true model'' by an aggregative one in which the variables are grouped and replaced by sums or weighted...
The Economics of Crime: Investigating the Drugs-Crime Channel
The rising trends both in drug addiction and crime rates are of major public concern in Germany. Surprisingly, the economic theory of crime seems to ignore the drugs-crime nexus, whereas the...
The Romanian Economy in Transition: Developments and Future Prospects
We address the macroeconomic developments experienced by Romania in a decade of transition towards a market driven society. We focus on a descriptive analysis with the intent of offering a clear and...
Time Series Simulation with Quasi Monte Carlo Methods
This paper compares quasi Monte Carlo methods, in particularso-called (t, m, s)-nets, with classical Monte Carlo approaches forsimulating econometric time-series models. Quasi Monte Carlomethods have...
Optimized Multivariate Lag Structure Selection
Model selection – choosing the relevant variables and structures – is a central task in econometrics. Given a limited number of observations, estimation and inference depend on this choice. A...
Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interac-tion of individuals provide...
An efficient branch-and-bound strategy for subset vector autoregressive model selection
Gatu, Cristian, Kontoghiorghes, Erricos J., Gilli, Manfred, Winker, Peter
A computationally efficient branch-and-bound strategy for finding the subsets of the most statistically significant variables of a vector autoregressive (VAR) model from a given search subspace is...
An objective function for simulation based inference on exchange rate data
Peter Winker, Manfred Gilli, Vahidin Jeleskovic
Indirect estimation, Simulation based estimation, Exchange rate returns, C14, C15, F31,
A review of heuristic optimization methods in econometrics
Estimation and modelling problems as they arise in many fields often turn out to be intractable by standard numerical methods. One way to deal with such a situation consists in simplifying models and...
Klaus Göggelmann, Peter Winker, Martin Schellhorn, Wolfgang Franz
Different stochastic simulation methods are used in order to check the robustness of the outcome of policy simulations. The application of a macroeconometric disequilibrium model of the West German...
Franz, Wolfgang, Oser, Ursula, Winker, Peter
This paper attempts to evaluate the impact of current and future immigration flows on major macroeconomic variables of the West German economy. The analysis is based on a macroeconometric...
Optimization Heuristics for Determining Internal Rating Grading Scales
Marianna Lyra, Johannes Paha, Sandra Paterlini, Peter Winker
Basel II imposes regulatory capital on banks related to the default risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities of...
Introduction to the Special Issue on Agent-Based Models for Economic Policy Advice
This special issue of the Journal of Economics and Statistics is devoted to the use of agent-based models for economic policy advice. It presents a collection of research papers in different fields...
Optimization Heuristics for Determining Internal Rating Grading Scales
Marianna Lyra, Johannes Paha, Sandra Paterlini, Peter Winker
Basel II imposes regulatory capital on banks related to the de- fault risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities...
Forecasting Russian Foreign Trade Comparative Advantages in the Context of a Potential WTO Accession
This paper proposes a new approach of forecasting “prospective" comparative advantages based on relative prices differences between countries in the context of economic liberalization. An empirical...
Monte Carlo Methoden haben sich auf vielen Gebieten der Statistik und Ökonometrie als wertvolles Instrument erwiesen. Die übliche Verwendung von Pseudozufallszahlen führt dazu, daß der...
The convergence of estimators based on heuristics: theory and application to a GARCH model
Peter Winker, Dietmar Maringer
GARCH, Threshold accepting, Optimization heuristics, Convergence,