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GTAP Resource #3481

"Systematic Sensitivity Analysis (SSA) with Respect to Correlated Variations in Parameters and Shocks"
by Horridge, Mark and Ken Pearson

In this paper, we show how you can carry out systematic sensitivity analysis (SSA) with respect to parameters and/or shocks, which vary according to a specified covariance matrix. You can do so using the existing SSA tools in RunGTAP or RunGEM to do this if your model is implemented in GEMPACK.

Those SSA tools assume that all parameters or shocks are varying independently (ie, are not correlated) or together (i.e., are perfectly correlated). The techniques in this paper remove those restrictions. However, users need to make small modifications to their GEMPACK TABLO model file. Different modifications are needed for different SSA scenarios.

This paper also addresses a further limitation for the current RunGTAP/RunGEM architecture – namely the restriction that allows you to compute the sensitivity of model results either with respect to variations in parameter values or with respect to variations in shock values, but not with respect to both parameters and shocks at the same time. While our discussion concentrates on the parameter case, we show how shock variation may be modeled as a type of parameter variation. This opens the door to simultaneous variation of shocks and parameters.

We include worked examples of the techniques described, based on the standard GTAP model. We also describe some GEMPACK enhancements, arising out of this paper, which make it more convenient to undertake SSA (but which are not essential to the techniques described).

Resource Details (Export Citation) GTAP Keywords
Category: 2011 Conference Paper
Status: Published
By/In: Presented at the 14th Annual Conference on Global Economic Analysis, Venice, Italy
Date: 2011
Created: Horridge, M. (3/7/2011)
Updated: Horridge, M. (3/7/2011)
Visits: 2,583
- Software and modeling tools

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