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"...

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...

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...

For a nonlinear system of simultaneous equations, the mode of the joint distribution of the endogenous variables in the forecast period is proposed as alternative to the more usual deterministic or mean predictors. A first method follows from maximizing the joint density of a subset of the...