Stochastic simulation with antithetic variates is used to evaluate the bias of deterministic simulation in nonlinear econometric models. Application to the Klein-Goldberger model exemplifies the potentiality of the method.

This paper investigates the linkages between trade policy openness and economic growth for Pakistan for the period 1973 to 2008. The paper tests the hypothesis that trade policy does not affect economic growth directly rather it affects through some growth determining economic variables, which...

The problem of deriving asymptotic statistical properties of impact multipliers from a consistent estimate of a structural non-linear econometric model is discussed. The theoretical aspects, which generalize the results derived by Goldberger, Nagar and Odeh for linear models, are analyzed in...

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...

This paper analyzes whether or not the contagion effect exists among the seven former-Soviet economies in Eastern Europe: Belarus, Estonia, Latvia, Lithuania, Moldova, Russia and Ukraine throughout the period from November 1996 to December 2009. The evolution of the EU memberships of Estonia,...

One of the most pressing problems in the Latvian economy is related to the energy sector. The most characteristic feature is coupled with the low efficiency of thermal energy consumption of households as a result of poor insulation of existing buildings in Latvia. Solving energy sector problems...

This paper provides a sectoral examination of the impact of trade policies and custom valuation procedures on estimating time varying import content of Japanese transplant automobiles. Using monthly data from 1985 to 1992, we introduce an error correction model (ECM) and a state space VAR model...

Pricing of capital share risks provides a novel link between macroeconomics and finance. Our paper adopts the Epstein-Zin type utility framework and the Bansal and Yaron’s (2004) long-run risk model to derive an heterogeneous asset pricing model that extends Lettau et al.’s (2019) capital...

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,...

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...