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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 ABDELKHALEK, Touhami
DUFOUR, Jean-Marie
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We study the problem of measuring the uncertainty of CGE (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first one uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Bayesian) 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 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.
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Paper provided by Universite de Montreal, Departement de sciences economiques in its series Cahiers de recherche with number
9713.
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Length: 40 pages
Date of creation: 1997Date of revision:
Handle: RePEc:mtl:montde:9713Contact details of provider: Postal: CP 6128, Succ. Centre-Ville, Montr�al, Qu�bec, H3C 3J7 Phone: (514) 343-6540 Fax: (514) 343-5831 Web page: http://www.sceco.umontreal.ca More information through EDIRC
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Keywords: confidence interval ; confidence set ; comtable general equilibrium models ; sensitivity analysis ; calibration ; ojection ; Morocco ; fiscal licy ; Other versions of this item:
Find related papers by JEL classification: C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications O10 - Economic Development, Technological Change, and Growth - - Economic Development - - - General
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 ,
Elsevier, vol. 70(1), pages 39-68, January.
[Downloadable!] (restricted)
Kiviet, Jan F. & Dufour, Jean-Marie, 1997.
"Exact tests in single equation autoregressive distributed lag models ,"
Journal of Econometrics ,
Elsevier, vol. 80(2), pages 325-353, October.
[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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Cahiers de recherche
9549, Universite de Montreal, Departement de sciences economiques.
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Allan Gregory & Gregor Smith, 1990.
"Calibration as estimation ,"
Econometric Reviews ,
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Other versions: Dufour, Jean-Marie, 1989.
"Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions ,"
Econometrica ,
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Harrison, Glenn W. & Jones, Richard & Kimbell, Larry J. & Wigle, Randal, 1993.
"How robust is applied general equilibrium analysis? ,"
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Gregory, Allan W & Smith, Gregor W, 1991.
"Calibration as Testing: Inference in Simulated Macroeconomic Models ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 9(3), pages 297-303, July.
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[Downloadable!] (restricted)
Kehoe, Timothy J, 1983.
"Regularity and Index Theory for Economies with Smooth Production Technologies ,"
Econometrica ,
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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 ,
MIT Press, vol. 74(2), pages 357-62, May.
[Downloadable!] (restricted)
Dufour, Jean-Marie, 1990.
"Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors ,"
Econometrica ,
Econometric Society, vol. 58(2), pages 475-94, March.
[Downloadable!] (restricted)
Campbell, Bryan & Dufour, Jean-Marie, 1997.
"Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(1), pages 151-73, February.
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.)
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!] 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!]
Nabil Annabi & John Cockburn & Bernard Decaluwé, 2006.
"Functional Forms and Parametrization of CGE Models ,"
Cahiers de recherche MPIA
2006-04, PEP-MPIA.
[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!]
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!]
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!]
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 & 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!]
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