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La varianza delle previsioni nei modelli econometrici
[Forecast variance in econometric models]

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Author Info

  • Calzolari, Giorgio

Abstract

In econometric models specified as systems of simultaneous equations, forecast errors can be regarded as random variables whose variances can be investigated, analyzed and estimated. This book summarizes results available in the literature for linear and nonlinear econometric models, when forecasts are one-step ahead or multi-steps ahead. Theoretical, practical and computational problems are considered. Complete data-sets and detailed numerical results are provided for several models; these results can be replicated by econometric researches when "tuning" their computer algorithms.

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File URL: http://mpra.ub.uni-muenchen.de/23866/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 23866.

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Date of creation: Jun 1987
Date of revision:
Publication status: Published in CLEUP Editore - Padova - Italy Serie didattica.3(1987): pp. 1-230
Handle: RePEc:pra:mprapa:23866

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Keywords: Econometric models; simultaneous equations; forecast; variance of forecast error;

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References

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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.:
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  1. 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.
  2. Cooper, J Phillip & Fischer, Stanley, 1974. "Monetary and Fiscal Policy in the Fully Stochastic St. Louis Econometric Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 6(1), pages 1-22, February.
  3. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
  4. James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco.
  5. Belsley, David A., 1980. "On the efficient computation of the nonlinear full-information maximum-likelihood estimator," Journal of Econometrics, Elsevier, vol. 14(2), pages 203-225, October.
  6. Jerry A. Hausman, 1974. "Full Information Instrumental Variables Estimation of Simultaneous Equations Systems," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 91-102 National Bureau of Economic Research, Inc.
  7. E.K. Berndt & B.H. Hall & R.E. Hall, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 103-116 National Bureau of Economic Research, Inc.
  8. Hendry, D F, 1971. "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 257-72, June.
  9. Baillie, Richard T, 1981. "Prediction from the Dynamic Simultaneous Equation Model with Vector Autoregressive Errors," Econometrica, Econometric Society, vol. 49(5), pages 1331-37, September.
  10. 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.
  11. Calzolari, Giorgio, 1987. "Forecast Variance in Dynamic Simulation of Simultaneous Equation Models," Econometrica, Econometric Society, vol. 55(6), pages 1473-76, November.
  12. Pagan, A. R. & Nicholls, D. F., 1984. "Estimating predictions, prediction errors and their standard deviations using constructed variables," Journal of Econometrics, Elsevier, vol. 24(3), pages 293-310, March.
  13. Calzolari, Giorgio & Sterbenz, Frederic P, 1986. "Control Variates to Estimate the Reduced Form Variances in Econometric Models," Econometrica, Econometric Society, vol. 54(6), pages 1483-90, November.
  14. Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389 Elsevier.
  15. Salkever, David S., 1976. "The use of dummy variables to compute predictions, prediction errors, and confidence intervals," Journal of Econometrics, Elsevier, vol. 4(4), pages 393-397, November.
  16. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
  17. Fisher, Paul & Salmon, Mark, 1986. "On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 625-46, October.
  18. Lawrence R. Klein & Arthur Doud & E. Sojo, 1985. "Simplification of Large Scale Macroeconometric Models," Eastern Economic Journal, Eastern Economic Association, vol. 11(1), pages 28-40, Jan-Mar.
  19. Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Stud y," Econometrica, Econometric Society, vol. 56(3), pages 701-14, May.
  20. 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.
  21. Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.
  22. Freedman, David A & Peters, Stephen C, 1984. "Bootstrapping an Econometric Model: Some Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(2), pages 150-58, April.
  23. Calzolari, Giorgio, 1981. "A Note on the Variance of Ex-Post Forecasts in Econometric Models," Econometrica, Econometric Society, vol. 49(6), pages 1593-95, November.
  24. Trivellato, Ugo & Rettore, Enrico, 1986. "Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 445-53, October.
  25. 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.
  26. Yoel Haitovsky & Neil Wallace, 1972. "A Study Of Discretionary And Nondiscretionary Monetary And Fiscal Policies In The Context Of Stochastic Macroeconometric Models," NBER Chapters, in: Economic Research: Retrospect and Prospect Vol 1: The Business Cycle Today, pages 261-310 National Bureau of Economic Research, Inc.
  27. John W. Hooper & Arnold Zellner, 1959. "The Error of Forecast for Multivariate Regression Models," Cowles Foundation Discussion Papers 77R, Cowles Foundation for Research in Economics, Yale University.
  28. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-43, March.
  29. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976 Elsevier.
  30. Schmidt, Peter, 1974. "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model," Econometrica, Econometric Society, vol. 42(2), pages 303-09, March.
  31. Mariano, Roberto S & Brown, Bryan W, 1983. "Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 523-36, October.
  32. 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, vol. 13(3), pages 599-618, October.
  33. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-24, August.
  34. Hatanaka, Michio, 1978. "On the efficient estimation methods for the macro-economic models nonlinear in variables," Journal of Econometrics, Elsevier, vol. 8(3), pages 323-356, December.
  35. Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 671-90, August.
  36. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix," MPRA Paper 28806, University Library of Munich, Germany.
  37. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, vol. 41(1), pages 161-64, January.
  38. Fuller, Wayne A., 1980. "The use of indicator variables in computing predictions," Journal of Econometrics, Elsevier, vol. 12(2), pages 231-243, February.
  39. Corker, R. J. & Holly, S. & Ellis, R. G., 1986. "Uncertainty and forecast precision," International Journal of Forecasting, Elsevier, vol. 2(1), pages 53-53.
  40. Denton, Frank T & Oksanen, Ernest H, 1973. "Data Revisions and Forecasting Accuracy: An Econometric Analysis Based on Preliminary and Revised National Accounting Estimates," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 19(4), pages 437-52, December.
  41. Bianchi, Carlo & Calzolari, Giorgio & Sartori, Franco, 1982. "Stime 2SLS con componenti principali di un modello non lineare dell' economia italiana
    [2SLS with principal components: estimation of a nonlinear model of the Italian economy]
    ," MPRA Paper 22665, University Library of Munich, Germany, revised 1982.
  42. Yamamoto, Taku, 1980. "On the Treatment of Autocorrelated Errors in the Multiperiod Prediction of Dynamic Simultaneous Equation Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 735-48, October.
  43. 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.
  44. 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.
  45. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
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