After reviewing the reasons to use solution methods in macroeconomics,this survey paper discusses diferent aspects relative to a rigorous use of the numerical output of such methods. Special attention is paid to suggestions that have been made to incorporate parameter uncertainty. Finally, the...

Chapter 1. Introduction -- Chapter 2. Finite Difference Equations and Systems of Difference Equations in Rational Expectations -- Chapter 3. Models of Representative Agents and Real Business Cycle Models -- Chapter 4. A Simplified Illustration of Numerical Solution Methods of DSGE Models With...

A basic tool of modern econometrics is a uniform law of large numbers (LLN). It is a primary ingredient used in proving consistency and asymptotic normality of parametric and nonparametric estimators in nonlinear econometric models. Thus, in a well-known review article, Burguete, Gallant, and...

This Paper characterizes the term structure of risk measures such as Value at Risk (VaR) and expected shortfall under different econometric approaches including multivariate regime switching, GARCH-in-mean models with student-t errors, two-component GARCH models and a non-parametric bootstrap....

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...

When dealing with nonlinear econometric models, resort is often made to simulation techniques for the investigation of their dynamic properties. A spectral analysis using stochastic and analytic simulation is carried out on a nonlinear model of the Italian economy. The two approaces are...

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.

Integrated choice and latent variable (ICLV) models represent a promising newclass of models which merge classic choice models with the structural equation approach (SEM) for latent variables. Despite their conceptual appeal, to date applications of ICLV models in marketing are still rare. The...