With most of the available software packages, estimates of the parameter covariance matrix in a GARCH model are usually obtained from the outer products of the first derivatives of the log-likelihoods (BHHH estimator). However, other estimators could be defined and used, analogous to the...

Problems related to deterministic solution of nonlinear econometric models are well known in the literature. The use of mean (average) stochastic simulation results has been usually proposed to solve the problem of bias. This raises however other types of problems, like possible non-coherent...

This paper deals with methods to estimate standard errors of dynamic multipliers. These methods can be applied to nonlinear macroeconometric models, thus extending methods available in the literature for linear models.

The estimator of the coefficient covariance matrix proposed in White (1982) can be used to robustify the classical Wald test. Sampling experiments recently performed on linear regressions and simultaneous equation models, however, suggest that such an estimator tends to underestimate the...

Through Monte Carlo experiments, this paper compares the performances of different gradient optimization algorithms, when performing full information maximum likelihood (FIML) estimation of econometric models. Different matrices are used (Hessian, outer products matrix, GLS-type matrix, as well...

This paper presents a Monte-Carlo study on the practical reliability of numerical algorithms for FIML-estimation in nonlinear econometric models. The performance of different techniques of Hessian approximation in trust-region algorithms is compared regarding their "robustness" against "bad"...

Five alternative techniques have been applied to measure the degree of uncertainty associated with the forecasts produced by a macro-model of the French economy, the Mini-DMS developed at INSEE. They are bootstrap, analytic simulation on coefficients, Monte Carlo on coefficients, parametric...