In this paper the results of six different estimation methods appliead to a linear aggregated model of the Italian economy are at first displayed. Afterwards, the inherent dynamic characteristics and the simulation properties of the six sets of estimates are analyzed. In no case the obtained...

When the coefficients of a Tobit model are estimated by maximum likelihood their covariance matrix is typically, even if not necessarily, associated with the algorithm employed to maximize the likelihood. Covariance estimators used in practice are derived by: (1) the Hessian (observed...

In econometric models specified as systems of simultaneous equations, forecast errors can be regarded as random variables whose variances can be investigated, analyzed and estimated. This book summarizes results available in the literature for linear and nonlinear econometric models, when...

Experiments of stochastic simulation on a macro model of the Italian economy; this paper describes the first results produced by the research team.

This work is mainly intended for applied econometricians and students interested in development and application of estimation methods for structural econometric models. For the Klein-I model, detailed numerical tables of the parameters of the structural and restricted reduced form, of their...

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,...

A programming language has been developed at the IBM Scientific Center of Pisa (Italy) to manage interactively the economic time series of a large data base.

The main purpose of this data base is to offer the researcher a supply of information which can be analyzed, revised and updated in a repetitive way. This can be accomplished by an interactive approach. It is possible to use data from the central file (official data) and from a private single...

Bilateral import prices are assumed to be the main explanatory variables in an import allocation model. Since official statistics are not available, the construction of these indices has been undertaken, using the data on bilateral trade by commodities supplied by OECD. Data are stored in 126...

The stochastic simulation of an econometric model is an application of Monte Carlo methods. Deterministic simulation is performed setting error terms to zero. Stochastic simulation, on the contrary, takes into account the disturbance terms, solving the model after adding a vector of...