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A simulation approach to some dynamic properties of econometric models

Author

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  • Bianchi, Carlo
  • Calzolari, Giorgio

Abstract

Numerical simulation methods can overcome the difficulties and limitations of analytical methods, when analyzing dynamic properties of econometric models.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio, 1980. "A simulation approach to some dynamic properties of econometric models," MPRA Paper 24421, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24421
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    File URL: https://mpra.ub.uni-muenchen.de/24421/1/MPRA_paper_24421.pdf
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    References listed on IDEAS

    as
    1. 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 505-506, March.
    2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-236, January.
    3. 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.
    4. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, vol. 41(1), pages 161-164, January.
    5. Schmidt, Peter, 1974. "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model," Econometrica, Econometric Society, vol. 42(2), pages 303-309, March.
    6. Brissimis, Sophocles N & Gill, Leonard, 1978. "On the Asymptotic Distribution of Impact and Interim Multipliers," Econometrica, Econometric Society, vol. 46(2), pages 463-469, March.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Panattoni, Lorenzo, 1985. "Asymptotic properties of dynamic multipliers in nonlinear econometric models," MPRA Paper 24401, University Library of Munich, Germany.

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    More about this item

    Keywords

    Multipliers; econometric models; asymptotic standard errors; simulation;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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