The asymptotic distribution of impact multipliers for a non-linear structural econometric model
Abstract
The problem of deriving asymptotic statistical properties of impact multipliers from a consistent estimate of a structural non-linear econometric model is discussed. The theoretical aspects, which generalize the results derived by Goldberger, Nagar and Odeh for linear models, are analyzed in detail, as well as the numerical (computational) aspects. Numerical results are finally displayed for an econometric model well known in the literature.Download Info
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24537.Length:
Date of creation: 1977
Date of revision: 1979
Handle: RePEc:pra:mprapa:24537
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Related research
Keywords: Asymptotic standard errors; impact multipliers; econometric models;Find related papers by JEL classification:
- 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
References
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- Dhrymes, Phoebus J, 1973. "Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency," Econometrica, Econometric Society, vol. 41(1), pages 119-34, January.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-36, January.
- Havenner, Arthur M, 1976. "Computer Algorithm: Derived Reduced Form Coefficient Covariances," Econometrica, Econometric Society, vol. 44(4), pages 836, July.
- 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 505-06, March.
- Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-92, April.
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