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Statistical Inference For Computable General Equilibrium Models, With Application To A Model Of The Moroccan Economy Author info | Abstract | Publisher info | Download info | Related research | Statistics Touhami Abdelkhalek
Jean-Marie Dufour
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We study the problem of measuring the uncertainty of computable general equilibrium (CGE) (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Baycsian) is available for the free parameters, from which confidence sets are derived by a projection technique. The latter has two advantages: first, confidence set validity is not affected by model nonlinearities; second, we can easily build simultaneous confidence intervals for an unlimited number of variables. We study conditions under which these confidence sets take the form of intervals and show how they can be implemented using standard methods for solving CGE models. We present an application to a CGE model of the Moroccan economy to study the effects of policy-induced increases of transfers from Moroccan expatriates. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technolog
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Article provided by MIT Press in its journal The Review of Economics and Statistics .
Volume (Year): 80 (1998)
Issue (Month): 4 (November)
Pages: 520-534
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Handle: RePEc:tpr:restat:v:80:y:1998:i:4:p:520-534Contact details of provider: Web page: http://mitpress.mit.edu/journals/
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Dufour, Jean-Marie & Kiviet, Jan F., 1996.
"Exact tests for structural change in first-order dynamic models ,"
Journal of Econometrics ,
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Kiviet, Jan F. & Dufour, Jean-Marie, 1997.
"Exact tests in single equation autoregressive distributed lag models ,"
Journal of Econometrics ,
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[Downloadable!] (restricted)
Other versions:
Dufour, J.M. & Kiviet, J.F., 1995.
"Exact Tests in Single Equation Autoregressive Distributed Lag Models ,"
Cahiers de recherche
9549, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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"Exact Tests in Single Equation Autoregressive Distributed Lag Models ,"
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9549, Universite de Montreal, Departement de sciences economiques.
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Other versions: Dufour, Jean-Marie, 1989.
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Kehoe, Timothy J, 1983.
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Harrison, Glenn W & Vinod, H D, 1992.
"The Sensitivity Analysis of Applied General Equilibrium Models: Completely Randomized Factorial Sampling Designs ,"
The Review of Economics and Statistics ,
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Dufour, Jean-Marie, 1990.
"Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors ,"
Econometrica ,
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Campbell, Bryan & Dufour, Jean-Marie, 1997.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter ,"
International Economic Review ,
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Other versions:
Campbell, B. & Dufour, J.M., 1994.
"Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter ,"
Cahiers de recherche
9407, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Campbell, B. & Dufour, J.M., 1994.
"Excat Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter ,"
Cahiers de recherche
9407, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Allan W. Gregory & Gregor W. Smith, 1991.
"Calibration in Macroeconomics ,"
Working Papers
826, Queen's University, Department of Economics.
Feve, Patrick & Langot, Francois, 1994.
"The RBC Models through Statistical Inference: An Application with French Data ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 9(S), pages S11-35, Suppl. De.
[Downloadable!] (restricted)
Dufour, J.M. & Kiviet, J.F., 1995.
"Exact Inference Methods for First-Order Autoregressive Distributed Lag Models ,"
Cahiers de recherche
9547, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
Other versions:
Dufour, J.M. & Kiviet, J.F., 1995.
"Exact Inference Methods for First-Order Autoregressive Distributed Lag Models ,"
Cahiers de recherche
9547, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Jean-Marie Dufour & Jan F. Kiviet, 1998.
"Exact Inference Methods for First-Order Autoregressive Distributed Lag Models ,"
Econometrica ,
Econometric Society, vol. 66(1), pages 79-104, January.
Devarajan, Shantayanan & Lewis, Jeffrey D. & Robinson, Sherman, 1986.
"A bibliography of computable general equilibrium (CGE) models applied to developing countries ,"
CUDARE Working Paper Series
400, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Mabel Cabezas, 2003.
"Tratado de Libre Comercio Entre Chile y Estados Unidos: Revisión de Estudios que Cuantifican su Impacto ,"
Working Papers Central Bank of Chile
239, Central Bank of Chile.
[Downloadable!]
Ghazalian, Pascal & Tamini, Lota & Larue, Bruno & Gervais, Jean-Philippe, 2007.
"A Gravity approach to evaluate the significance of trade liberalization in vertically-related goods in the presence of non-tariff barriers ,"
MPRA Paper
2744, University Library of Munich, Germany.
[Downloadable!]
Jean-Marie Dufour, 2001.
"Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie ,"
CIRANO Working Papers
2001s-40, CIRANO.
[Downloadable!]
Other versions:
Dufour, J.M., 2001.
"Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie ,"
Cahiers de recherche
2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
DUFOUR, Jean-Marie, 2001.
"Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie ,"
Cahiers de recherche
2001-15, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Nabil Annabi & John Cockburn & Bernard Decaluwé, 2006.
"Functional Forms and Parametrization of CGE Models ,"
Cahiers de recherche MPIA
2006-04, PEP-MPIA.
[Downloadable!]
Jean-Marie Dufour & Abderrahim Taamouti, 2008.
"Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms ,"
Economics Working Papers
we086027, Universidad Carlos III, Departamento de Economía.
[Downloadable!]
Denis Bolduc & Lynda Khalaf & Clément Yélou, 2005.
"Identification Robust Confidence Sets Methods for Inference on Parameter Ratios and their Application to Estimating Value-of-Time ,"
Computing in Economics and Finance 2005
48, Society for Computational Economics.
[Downloadable!]
Robert Amano1 & Kim McPhail & Hope Pioro & Andrew Rennison, 2002.
"Evaluating the Quarterly Projection Model: A Preliminary Investigation ,"
Working Papers
02-20, Bank of Canada.
[Downloadable!]
Tamini, Lota & Ghazalian, Pascal & Gervais, Jean-Philippe & Larue, Bruno, 2006.
"Domestic support and tariff reductions in the presence of non-tariff barriers: A gravity model for primary and processed agricultural products ,"
MPRA Paper
2743, University Library of Munich, Germany, revised 01 Dec 2006.
[Downloadable!]
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