Sensitivity analysis in economic simulations : a systematic approach

Hermeling, Claudia ; Mennel, Tim

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URN: urn:nbn:de:bsz:180-madoc-21008
Document Type: Working paper
Year of publication: 2008
The title of a journal, publication series: None
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 004 Computer science, internet
Classification: JEL: D50 C63 C15 ,
Subject headings (SWD): Sensitivitätsanalyse , Simulation , Computerunterstütztes Verfahren , Theorie
Keywords (English): Sensitivity Analysis , Computational Methods
Abstract: Sensitivity analysis studies how the variation in the numerical output of a model can be quantitatively apportioned to different sources of variation in basic input parameters. Thus, it serves to examine the robustness of numerical results with respect to input parameters, which is a prerequisite for deriving economic conclusions from them. In practice, modellers apply different methods, often chosen ad hoc, to do sensitivity analysis. This paper pursues a systematic approach. It formalizes deterministic and stochastic methods used for sensitivity analysis. Moreover, it presents the numerical algorithms to apply the methods, in particular, an improved version of a Gauss-Quadrature algorithm, applicable to one as well as multidimensional sensitivity analysis. The advantages and disadvantages of different methods and algorithms are discussed as well as their applicability.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.

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