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Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix

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Author Info

  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Corsi, Paolo

Abstract

For 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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File URL: http://mpra.ub.uni-muenchen.de/22678/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 22678.

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Date of creation: 1981
Date of revision: 1981
Handle: RePEc:pra:mprapa:22678

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Related research

Keywords: Econometric models; impact multipliers; forecast errors; asymptotic standard errors; structural form; reduced form; coefficients covariance matrix;

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References

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  1. Bianchi, Carlo & Calzolari, Giorgio, 1980. "The One-Period Forecast Errors in Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 201-08, February.
  2. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-92, April.
  3. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Note on the Numerical Results by Goldberger, Nagar, and Odeh," Econometrica, Econometric Society, vol. 47(2), pages 505-06, March.
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Citations

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Cited by:
  1. 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.
  2. Bianchi, Carlo & Calzolari, Giorgio, 1982. "Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods," MPRA Paper 22559, University Library of Munich, Germany.
  3. 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.
  4. 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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