Obszary stabilności rozwiązania empirycznych modeli równowagi ogólnej: zastosowanie metod analizy wrażliwości

• Authors: Renata Wróbel-Rotter

Title variants

EN

STABILITY REGIONS FOR EMPIRICAL GENERAL EQUILIBRIUM MODELS: THE APPLICATION OF SENSITIVITY ANALYSIS

• Languages of publication: PL

Abstracts

EN

The paper presents one application of sensitivity analysis methods for empirical general equilibrium models. Sensitivity analysis allows parameter space to be investigated to ensure model stability. The main method used is called Monte Carlo filtering, in which a random sample is generated from a prior distribution. According to the acceptability of the obtained solutions of the model, the results are classified into two sets, corresponding to the behaviour or non-behaviour of the model. A formal Kolmogorov-Smirnov test is then performed. The methods are illustrated with a standard general equilibrium model taken from the literature.

Keywords

EN

DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS; SENSITIVITY ANALYSIS; STABILITY REGIONS; MONTE CARLO FILTERING

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
• Journal: Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
• Year: 2011
• Issue: 873
• Pages: 121-135

Contributors

author

Renata Wróbel-Rotter

• Uniwersytet Ekonomiczny w Krakowie, Katedra Ekonometrii i Badań Operacyjnych, ul. Rakowicka 27, 31-510 Kraków, Poland