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A Note on Verification of Computer Simulation Models

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  • Dennis J. Aigner

    (University of Wisconsin)

Abstract

This paper establishes an argument that questions the validity of one "test" of goodness-of-fit for the simulated time path of a single endogenous variable in a simultaneous, perhaps dynamic, econometric model. The test was suggested by Cyert and Cohen, and consists of two parts, within the context of a regression of the actual series on the generated series: a test that the intercept of this regression differs significantly from zero and a test that the slope of this regression differs significantly from one. Presumably, the intuition underlying the test is that if the simulation model is a good one this regression should be a 45° line through the origin. The paper's primary purpose is to demonstrate that this intuition is wrong in general for the case of "stochastic simulation."

Suggested Citation

  • Dennis J. Aigner, 1972. "A Note on Verification of Computer Simulation Models," Management Science, INFORMS, vol. 18(11), pages 615-619, July.
    • Handle: RePEc:inm:ormnsc:v:18:y:1972:i:11:p:615-619
    DOI: 10.1287/mnsc.18.11.615
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    Cited by:

    1. Kleijnen, J.P.C. & Bettonvil, B.W.M. & van Groenendaal, W.J.H., 1996. "Validation of Simulation Models : Regression Analysis Revisited," Discussion Paper 1996-07, Tilburg University, Center for Economic Research.
    2. Hughes, David & Butcher, Walter & Jaradat, Abdullah & Penaranda, Water, 1995. "Economic analysis of the long-term consequences of farming practices in the barley cropping area of Jordan," Agricultural Systems, Elsevier, vol. 47(1), pages 39-58.
    3. Thornton, P. K. & Hansen, J. W., 1996. "A note on regressing real-world data on model output," Agricultural Systems, Elsevier, vol. 50(4), pages 411-414.
    4. Jack P. C. Kleijnen & Bert Bettonvil & Willem Van Groenendaal, 1998. "Validation of Trace-Driven Simulation Models: A Novel Regression Test," Management Science, INFORMS, vol. 44(6), pages 812-819, June.
    5. Throsby, C.D., 1973. "New Methodologies in Agricultural Production Economics: a Review," 1973 Conference, August 19-30, 1973, São Paulo, Brazil 181385, International Association of Agricultural Economists.

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