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A well known macroeconometric model of the Italian economy is updated to produce forecasts at 1974.
Persistent link: https://www.econbiz.de/10008595619
In nonlinear econometric models, the evaluation of forecast errors is usually performed, completely or partially, by resorting to stochastic simulation. However, for evaluating the specific contribution of errors in estimated structural coefficients, several alternative methods have been...
Persistent link: https://www.econbiz.de/10008506106
The numerical example which completes the paper by Goldberqer, Nagar and Odeh, on the estimated asymptotic covariance matrix of the reduced form coefficients for the Klein-I model estimated by Two Stage Least Squares (2SLS), has led to some misinterpretations of the properties of the model. In...
Persistent link: https://www.econbiz.de/10008548838
This paper describes some analytic simulation experiments performed on a nonlinear macroeconometric model of the Italian economy. The proposed techniques extend to nonlinear models methods that are available, in the literature, for linear econometric models. The results can be profitably used...
Persistent link: https://www.econbiz.de/10008490516
In econometric models specified as systems of simultaneous equations, forecast errors can be regarded as random variables whose variances can be investigated, analyzed and estimated. This book summarizes results available in the literature for linear and nonlinear econometric models, when...
Persistent link: https://www.econbiz.de/10008526968
The drawbacks of predictors obtained with the usual deterministic solution methods in nonlinear systems of stochastic equations have been widely investigated in the literature. Most of the proposed therapies are based on some estimation of the conditional mean of the endogenous variables in the...
Persistent link: https://www.econbiz.de/10008927060
It is purpose of this paper to evidence, in the behaviour of the Mini-DMS model for the French economy, some stochastic properties which may confirm, strengthen or sometimes contradict the results obtained from the standard simulation analysis, which is purely deterministic. In particular, the...
Persistent link: https://www.econbiz.de/10008871211
Multipliers are often used for selecting alternative policies in economic planning and forecasting. Particular variables like employment, trade balance, inflation or government budget usually impose constraints on the policy action. Therefore a criterion to be preferred to the raw multiplier...
Persistent link: https://www.econbiz.de/10008871303
The evaluation of policy actions by means of a large scale econometric model often begins with the analysis of multipliers. A large value of a multiplier, with the right sign, suggests that the policy instrument should be very effective in moving up or down the given target variable. However,...
Persistent link: https://www.econbiz.de/10008871308
Several methods have been proposed in the last few years for evaluating uncertainty in forecasts produced by nonlinear econometric models. Some methods resort to Monte Carlo, while others resort to different simulation techniques. This work aims at comparing these methods by means of experiments...
Persistent link: https://www.econbiz.de/10008855245