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Simulation of a nonlinear econometric model

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  • Bianchi, Carlo
  • Calzolari, Giorgio

Abstract

This paper describes some analytic simulation experiments performed on a nonlinear macroeconometric model of the Italian economy. The proposed techniques extend to nonlinear models methods that are available, in the literature, for linear econometric models. The results can be profitably used either to validate the model or to evaluate the reliability of economic policy experiments.

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File URL: http://mpra.ub.uni-muenchen.de/24440/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24440.

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Date of creation: 1979
Date of revision: 1980
Handle: RePEc:pra:mprapa:24440

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Related research

Keywords: Macroeconometric model; analytic simulation; model validation; economic policy experiments;

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References

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  1. 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.
  2. 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.
  3. 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.
  4. Bianchi, Carlo & Calzolari, Giorgio & Cleur, Eugene M., 1978. "Spectral analysis of stochastic and analytic simulation results for a nonlinear model for the Italian economy," MPRA Paper 22966, University Library of Munich, Germany, revised 1978.
  5. Schmidt, Peter, 1974. "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model," Econometrica, Econometric Society, Econometric Society, vol. 42(2), pages 303-09, March.
  6. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, Econometric Society, vol. 41(1), pages 161-64, January.
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Citations

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Cited by:
  1. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.
  2. 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.

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