A well known macroeconometric model of the Italian economy is updated to produce forecasts at 1974.

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...

The estimation method of Two Stage Least Squares (2SLS) with Principal Components (2SPC) is applied to a medium-sized nonlinear econometric model of the Italian Economy.

Experiments of stochastic simulation on a nonlinear macroeconometric model are described in this paper. The results are used both for improving the validation of a model of the Italian economy and for revisiting the heuristic value of the stochastic simulation methodology.

The numerical example which completes the paper by Goldberqer, Nagar and Odeh, on the estimated asymptotic covariance matrix of the reduced form coefficients for the Klein-I model estimated by Two Stage Least Squares (2SLS), has led to some misinterpretations of the properties of the model. In...

This paper describes the results of some stochastic simulation experiments performed on the most updated version of the Italian model. Due to a change in the income accounts system, the model has been completely reestimated using the new quarterly data. It consists of 128 equations, 50 of which...

Numerical simulation methods can overcome the difficulties and limitations of analytical methods, when analyzing dynamic properties of econometric models.

It is known that a program loaded into the User Program Area can load, via SVC 202, only programs to be allocated in the Transient Program Area and not programs to be allocated in the same User Program Area. To allow any program to use also this second type function, a procedure is proposed in...

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...

For some structural econometric models, the contribution of the off-diagonal blocks of the coefficients covariance matrix to the asymptotic standard errors of multipliers and forecasts is empirically evaluated.