Stochastic simulation and dynamic properties of the new version of the Italian model
AbstractThis paper describes the results of some stochastic simulation experiments performed on the most updated version of the Italian model. Due to a change in the income accounts system, the model has been completely reestimated using the new quarterly data. It consists of 128 equations, 50 of which are stochastic. As regards to the structure of the model, the main differences with respect to the previous version lie in the income sector: now the different components of income distribution are determined endogenously and disaggregated by sector, and affect directly private disposable income. Stochastic simulation has been performed using the program described in . The generation of pseudo randorn numbers with multivariate normal distribution has been performed using the Box-Muller technique  and McCarthy algorithm .
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23355.
Date of creation: Oct 1978
Date of revision: Oct 1978
Stochastic simulation; econometric model; Italian economy; project Link;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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- Bert G. Hickman, 1972. "Econometric Models of Cyclical Behavior, Vols. 1 and 2," NBER Books, National Bureau of Economic Research, Inc, number hick72-1.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 235-36, January.
- Howrey, E Philip & Klein, Lawrence R, 1972. "Dynamic Properties of Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(3), pages 599-618, October.
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