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Analysis and measurement of the uncertainty in Mini-Dms model for the French economy

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  • Bianchi, Carlo
  • Brillet, Jean-Louis
  • Calzolari, Giorgio

Abstract

It is purpose of this paper to evidence, in the behaviour of the Mini-DMS model for the French economy, some stochastic properties which may confirm, strengthen or sometimes contradict the results obtained from the standard simulation analysis, which is purely deterministic. In particular, the model's capabllities in forecasting, in economic policy experiments, and the model's dynamic behaviour will be faced by regarding forecasts, multipliers and cbaracteristic roots as point estimates and associating with them a measure of dispersion, like a standard error.

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File URL: http://mpra.ub.uni-muenchen.de/29056/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 29056.

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Date of creation: 29 Aug 1983
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Handle: RePEc:pra:mprapa:29056

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Keywords: Macroeconometric model; French economy; stochastic simulation; dynamic properties; forecasting;

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References

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  1. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
  2. Fair, Ray C, 1980. "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-78, June.
  3. James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco.
  4. 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.
  5. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
  6. Oberhofer, W & Kmenta, J, 1973. "Estimation of Standard Errors of the Characteristic Roots of a Dynamic Econometric Model," Econometrica, Econometric Society, vol. 41(1), pages 171-77, January.
  7. Dhrymes, Phoebus J, 1973. "Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency," Econometrica, Econometric Society, vol. 41(1), pages 119-34, January.
  8. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-24, August.
  9. 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.
  10. 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.
  11. 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.
  12. Gustafson, Elizabeth F., 1978. "Testing unstable econometric models for stability : An empirical study," Journal of Econometrics, Elsevier, vol. 8(2), pages 193-201, October.
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