Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix
AbstractFor some structural econometric models, the contribution of the off-diagonal blocks of the coefficients covariance matrix to the asymptotic standard errors of multipliers and forecasts is empirically evaluated.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 22678.
Date of creation: 1981
Date of revision: 1981
Econometric models; impact multipliers; forecast errors; asymptotic standard errors; structural form; reduced form; coefficients covariance matrix;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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.:
- Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-92, April.
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- Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Paper 61, National Institute of Economic Research.
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- Bianchi, Carlo & Calzolari, Giorgio & Weihs, Claus, 1986. "Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models," MPRA Paper 29120, University Library of Munich, Germany.
- Bianchi, Carlo & Calzolari, Giorgio, 1983. "Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results," MPRA Paper 22657, University Library of Munich, Germany, revised 1983.
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