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Statistical Inference for Computable General Equilibrium Models with Application to a Model of the Moroccan Economy

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Author Info
ABDELKHALEK, Touhami
DUFOUR, Jean-Marie

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Abstract

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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Publisher Info
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: 1997
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Handle: RePEc:mtl:montde:9713

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Related research
Keywords: confidence interval; confidence set; comtable general equilibrium models; sensitivity analysis; calibration; ojection; Morocco; fiscal licy;

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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.:

  1. 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)
  2. 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)
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  3. Pagan, A R & Shannon, J H, 1987. "How Reliable Are ORAN I Conclusions?," The Economic Record, The Economic Society of Australia, vol. 63(180), pages 33-45, March.
  4. Charles L. Ballard & Don Fullerton & John B. Shoven & John Whalley, 1985. "General Equilibrium Analysis of Tax Policies," NBER Chapters, in: A General Equilibrium Model for Tax Policy Evaluation, pages 6-24 National Bureau of Economic Research, Inc. [Downloadable!]
  5. Canova, Fabio, 1994. "Statistical Inference in Calibrated Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages S123-44, Suppl. De. [Downloadable!] (restricted)
  6. Allan Gregory & Gregor Smith, 1990. "Calibration as estimation," Econometric Reviews, Taylor and Francis Journals, vol. 9(1), pages 57-89. [Downloadable!] (restricted)
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  7. Dufour, Jean-Marie, 1989. "Nonlinear Hypotheses, Inequality Restrictions, and Non-nested Hypotheses: Exact Simultaneous Tests in Linear Regressions," Econometrica, Econometric Society, vol. 57(2), pages 335-55, March. [Downloadable!] (restricted)
  8. Harrison, Glenn W. & Jones, Richard & Kimbell, Larry J. & Wigle, Randal, 1993. "How robust is applied general equilibrium analysis?," Journal of Policy Modeling, Elsevier, vol. 15(1), pages 99-115, February. [Downloadable!] (restricted)
  9. 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.
  10. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, vol. 65(6), pages 1365-1388, November.
  11. Wigle, Randall M, 1991. "The Pagan-Shannon Approximation: Unconditional Systematic Sensitivity in Minutes," Empirical Economics, Springer, vol. 16(1), pages 35-49.
  12. Shoven, John B & Whalley, John, 1984. "Applied General-Equilibrium Models of Taxation and International Trade: An Introduction and Survey," Journal of Economic Literature, American Economic Association, vol. 22(3), pages 1007-51, September. [Downloadable!] (restricted)
  13. Kehoe, Timothy J, 1983. "Regularity and Index Theory for Economies with Smooth Production Technologies," Econometrica, Econometric Society, vol. 51(4), pages 895-917, July. [Downloadable!] (restricted)
  14. 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)
  15. 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)
  16. 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.
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  17. Allan W. Gregory & Gregor W. Smith, 1991. "Calibration in Macroeconomics," Working Papers 826, Queen's University, Department of Economics.
  18. 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)
  19. 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.
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  20. 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.
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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.)

  1. 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:
  2. 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!]
  3. Nabil Annabi & John Cockburn & Bernard Decaluwé, 2006. "Functional Forms and Parametrization of CGE Models," Cahiers de recherche MPIA 2006-04, PEP-MPIA. [Downloadable!]
  4. 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!]
  5. 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!]
  6. 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!]
  7. 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!]
  8. 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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