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Asymptotic properties of dynamic multipliers in nonlinear econometric models

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

Abstract

This paper deals with methods to estimate standard errors of dynamic multipliers. These methods can be applied to nonlinear macroeconometric models, thus extending methods available in the literature for linear models.

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File URL: http://mpra.ub.uni-muenchen.de/24401/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24401.

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Date of creation: 1985
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Handle: RePEc:pra:mprapa:24401

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Related research

Keywords: Macroeconometric models; multipliers; asymptotic standard errors; inconsistency;

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References

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  1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models," Journal of Econometrics, Elsevier, Elsevier, vol. 16(3), pages 277-294, August.
  2. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, Econometric Society, vol. 41(1), pages 161-64, January.
  3. Gill, Leonard & Brissimis, Sophocles N., 1978. "Polynomial operators and the asymptotic distribution of dynamic multipliers," Journal of Econometrics, Elsevier, Elsevier, vol. 7(3), pages 373-384, April.
  4. Hatanaka, Michio, 1978. "On the efficient estimation methods for the macro-economic models nonlinear in variables," Journal of Econometrics, Elsevier, Elsevier, vol. 8(3), pages 323-356, December.
  5. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, Elsevier, vol. 4(4), pages 323-328.
  6. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, Econometric Society, vol. 37(2), pages 171-92, April.
  7. Brissimis, Sophocles N & Gill, Leonard, 1978. "On the Asymptotic Distribution of Impact and Interim Multipliers," Econometrica, Econometric Society, Econometric Society, vol. 46(2), pages 463-69, March.
  8. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, Econometric Society, vol. 48(6), pages 1381-91, September.
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Citations

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Cited by:
  1. Calzolari, Giorgio & Bianchi, Carlo & Corsi, Paolo & Panattoni, Lorenzo, 1982. "Uncertainty of policy recommendations for nonlinear econometric models: some empirical results," MPRA Paper 28846, University Library of Munich, Germany.
  2. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1984. "Analyse et mesure de l'incertitude en prevision d'un modele econometrique. Application au modele mini-DMS
    [Analysis and measurement of forecast uncertainty in an econometric model. Application to m
    ," MPRA Paper 22565, University Library of Munich, Germany, revised 1984.
  3. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1983. "Analysis and measurement of the uncertainty in Mini-Dms model for the French economy," MPRA Paper 29056, University Library of Munich, Germany.

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