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La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana
[The variance of forecast errors in econometric models: application to a nonlinear model of the Italian economy]

Author

Listed:
  • Bianchi, Carlo
  • Calzolari, Giorgio

Abstract

When econometric models are used as forecasting tools, forecast errors can be decomposed into several components, one of which is due to estimation errors, while another one is due to the stochastic nature of the variables to be predicted. Conditional on model's specification and on the predetermined variables, it is possible to compute a standard error of forecasts one-step-ahead.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio, 1978. "La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana [The variance of forecast errors in econometric models: application to a," MPRA Paper 29121, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:29121
    as

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    File URL: https://mpra.ub.uni-muenchen.de/29121/1/MPRA_paper_29121.pdf
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    References listed on IDEAS

    as
    1. Havenner, Arthur M, 1976. "Computer Algorithm: Derived Reduced Form Coefficient Covariances," Econometrica, Econometric Society, vol. 44(4), pages 836-836, July.
    2. 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 505-506, March.
    3. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-236, January.
    4. 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.
    5. Schmidt, Peter, 1974. "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model," Econometrica, Econometric Society, vol. 42(2), pages 303-309, March.
    6. Schmidt, Peter, 1977. "Some Small Evidence on the Distribution of Dynamic Simulation Forecasts," Econometrica, Econometric Society, vol. 45(4), pages 997-1005, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Forecast errors; standard errors; nonlinear econometric model; Italian economy;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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