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Control Variates to Estimate the Reduced Form Variances in Econometric Models

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  • Calzolari, Giorgio
  • Sterbenz, Frederic P

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  • Calzolari, Giorgio & Sterbenz, Frederic P, 1986. "Control Variates to Estimate the Reduced Form Variances in Econometric Models," Econometrica, Econometric Society, vol. 54(6), pages 1483-1490, November.
  • Handle: RePEc:ecm:emetrp:v:54:y:1986:i:6:p:1483-90
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    Cited by:

    1. Bianchi, Carlo & Calzolari, Giorgio & Brillet, Jean-Louis, 1987. "Measuring forecast uncertainty : A review with evaluation based on a macro model of the French economy," International Journal of Forecasting, Elsevier, vol. 3(2), pages 211-227.
    2. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    3. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
      [Forecast variance in econometric models]
      ," MPRA Paper 23866, University Library of Munich, Germany.
    4. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 100-112.
    5. Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 228-266.
    6. Bianchi, Carlo & Calzolari, Giorgio & Weihs, Claus, 1986. "Parametric and nonparametric Monte Carlo estimates of standard errors of forecasts in econometric models," MPRA Paper 29120, University Library of Munich, Germany.

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