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Stochastic simulation as a validation tool for econometric models

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Author Info

  • Calzolari, Giorgio
  • Corsi, Paolo

Abstract

The complete validation of an econometric model is a process which involves a formidable number of activities in the various steps of model building, like economic structure specification, test of hypothesis and parameter estimation, simulation behaviour and decision making. Our attention will be mainly focussed on some aspects related to simulation and decision making; in particular, the purpose of this paper is to analyze some problems of the validation process for which stochastic simulation can be profitably used.

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File URL: http://mpra.ub.uni-muenchen.de/21226/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 21226.

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Date of creation: 15 Sep 1977
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Handle: RePEc:pra:mprapa:21226

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Related research

Keywords: Econometric models; nonlinear simultaneous equations; stochastic simulation;

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References

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  1. Calzolari, Giorgio & Ciriani, Tito A. & Corsi, Paolo, 1976. "Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models," MPRA Paper 24172, University Library of Munich, Germany.
  2. Phoebus J. Dhrymes & E. Philip Howrey & Saul H. Hymans & Jan Kmenta & Edward E. Leamer & Richard E. Quandt & James B. Ramsey & Harold T. Shapiro & Victor Zarnowitz, 1972. "Criteria For Evaluation Of Econometric Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 291-325 National Bureau of Economic Research, Inc.
  3. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model," MPRA Paper 21287, University Library of Munich, Germany.
  4. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-36, January.
  5. Fromm, Gary & Klein, Lawrence R, 1973. "A Comparison of Eleven Econometric Models of the United States," American Economic Review, American Economic Association, vol. 63(2), pages 385-93, May.
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Citations

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Cited by:
  1. Ray C. Fair, 1978. "Estimating the Expected Predictive Accuracy of Econometric Models," Cowles Foundation Discussion Papers 480, Cowles Foundation for Research in Economics, Yale University.
  2. Fair Ray C, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-26, December.
  3. Fair, Ray C., 1986. "Evaluating the predictive accuracy of models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 33, pages 1979-1995 Elsevier.
  4. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Forecast variance in simultaneous equation models: analytic and Monte Carlo methods," MPRA Paper 24541, University Library of Munich, Germany.
  5. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.

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