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The deterministic simulation bias in the Klein-Goldberger model

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  • Calzolari, Giorgio

Abstract

Stochastic simulation with antithetic variates is used to evaluate the bias of deterministic simulation in nonlinear econometric models. Application to the Klein-Goldberger model exemplifies the potentiality of the method.

Suggested Citation

  • Calzolari, Giorgio, 1979. "The deterministic simulation bias in the Klein-Goldberger model," MPRA Paper 24461, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24461
    as

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    File URL: https://mpra.ub.uni-muenchen.de/24461/1/MPRA_paper_24461.pdf
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    References listed on IDEAS

    as
    1. 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 201-208, February.
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    More about this item

    Keywords

    Stochastic simulation; nonlinear econometric models; antithetic variates; variance reduction; Klein-Goldberger model;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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