Showing 91 - 100 of 323
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/10015222669
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...
Persistent link: https://www.econbiz.de/10015222723
In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details,...
Persistent link: https://www.econbiz.de/10015222724
At tbe IBM Pisa Scientific Center an interactive package has been developed under CP-67/CMS, which is particularly helpful when the data to be processed are time series. The interactive facilities of the operating system CP-67/CMS are strenghtened in such a way as to allow an easy interactive...
Persistent link: https://www.econbiz.de/10015222725
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...
Persistent link: https://www.econbiz.de/10015222727
The autoregressive conditional heteroskedasticity (ARCH) estimation procedure provides a specification of the error terms as well as estimates of the coefficients. A simple interest rate equation is estimated using least squares and also using ARCH. Then the stochastic simulation methodology is...
Persistent link: https://www.econbiz.de/10015223010
This paper describes the application of a reordering algorithm to the equations of econometric models. The algorithm was proposed in 1970 by Van der Giessen and is here applied to the equation format required by the program for stochastic simulation developed at the IBM Scientific Center in Pisa.
Persistent link: https://www.econbiz.de/10015223037
DMS/2 (Decisional Models Solution, version 2) is a computer package for solution of nonlinear econometric models. This technical report describes the new features that improve over the DMS-package.
Persistent link: https://www.econbiz.de/10015223038
This paper shows how to compute asymptotic standard errors of the characteristic roots of a nonlinear econometric model. The system of simultaneous equations is linearized in the neighborhood of a given point, then characteristic roots and related standard errors are computed.
Persistent link: https://www.econbiz.de/10015223039
This report describes the content and the format of five magnetic tapes in which the large volume of data on foreign trade by commodities distributed by O.E.C.D. has been condensed at the IBM Scientific Center of Pisa.
Persistent link: https://www.econbiz.de/10015223710