Asymptotic properties of dynamic multipliers in nonlinear econometric models
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 24401.
Date of creation: 1985
Date of revision:
Macroeconometric models; multipliers; asymptotic standard errors; inconsistency;
Find related papers by JEL classification:
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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- Brissimis, Sophocles N & Gill, Leonard, 1978. "On the Asymptotic Distribution of Impact and Interim Multipliers," Econometrica, Econometric Society, vol. 46(2), pages 463-69, March.
- Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-91, September.
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- Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-92, April.
- Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
- Gill, Leonard & Brissimis, Sophocles N., 1978. "Polynomial operators and the asymptotic distribution of dynamic multipliers," Journal of Econometrics, Elsevier, vol. 7(3), pages 373-384, April.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models," Journal of Econometrics, Elsevier, vol. 16(3), pages 277-294, August.
- Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, vol. 41(1), pages 161-64, January.
- 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.
- 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.
- 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.
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