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Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models

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  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Weihs, Claus

Abstract

In the econometric literature simulation techniques are suggested for estimating standard errors of forecasts, especially in case of nonlinear models, where explicit analytic formulae are not available. For this purpose analytic simulation on coefficients, Monte Carlo on coefficients, Monte Carlo simulation based on parametric estimate of the underlying error distribution have been proposed, and more recently a nonparametric procedure which uses the bootstrap technique is also suggested. Main purpose of this paper is to compare, in empirical applications for real world models, parametric and nonparametrlc estimates. Furthermore, in case of linear models, the same comparisons are performed with respect to the results obtained via analytic formulae. Additional results are obtained from an error-in-variables approach.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 29120.

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Date of creation: 1986
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Handle: RePEc:pra:mprapa:29120

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Keywords: Standard errors of forecasts; econometric models; parametric and nonparametric simulations;

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References

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  1. Schmidt, Peter, 1974. "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model," Econometrica, Econometric Society, vol. 42(2), pages 303-09, March.
  2. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-68, May.
  3. Yoel Haitovsky & Neil Wallace, 1972. "A Study Of Discretionary And Nondiscretionary Monetary And Fiscal Policies In The Context Of Stochastic Macroeconometric Models," NBER Chapters, in: Economic Research: Retrospect and Prospect Vol 1: The Business Cycle Today, pages 261-310 National Bureau of Economic Research, Inc.
  4. 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.
  5. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results," MPRA Paper 22657, University Library of Munich, Germany, revised 1983.
  6. 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.
  7. 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.
  8. Mariano, Roberto S, 1982. "Analytical Small-Sample Distribution Theory in Econometrics: The Simultaneous-Equations Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 23(3), pages 503-33, October.
  9. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix," MPRA Paper 22678, University Library of Munich, Germany, revised 1981.
  10. 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.
  11. Mariano, Roberto S & Brown, Bryan W, 1983. "Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 523-36, October.
  12. Bianchi, Carlo & Calzolari, Giorgio, 1982. "Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods," MPRA Paper 22559, University Library of Munich, Germany.
  13. Calzolari, Giorgio, 1981. "A Note on the Variance of Ex-Post Forecasts in Econometric Models," Econometrica, Econometric Society, vol. 49(6), pages 1593-95, November.
  14. Calzolari, Giorgio & Sterbenz, Frederic P, 1986. "Control Variates to Estimate the Reduced Form Variances in Econometric Models," Econometrica, Econometric Society, vol. 54(6), pages 1483-90, November.
  15. Freedman, David A & Peters, Stephen C, 1984. "Bootstrapping an Econometric Model: Some Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(2), pages 150-58, April.
  16. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-43, March.
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Cited by:
  1. Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Paper 61, National Institute of Economic Research.

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