Sensitivity analysis revisited: A quadrature-based approach

Sensitivity analysis for economic equilibrium models is critical for establishing the robustness of model results. A systematic method for parametric sensitivity analysis based on the Gaussian quadrature procedure for numerical integration is presented. The approach is compared to those of Harrison and Vinod and of Pagan and Shannon for the case of a computable general equilibrium model due to Walley and Wigle. The results suggest greater efficiency of the Gaussian quadrature approach. (C) Society for Policy Modeling, 1997.