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Stochastic Ceteris Paribus Simulations

  • Dag Kolsrud

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    File URL: http://hdl.handle.net/10.1007/s10614-007-9105-3
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    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 31 (2008)
    Issue (Month): 1 (February)
    Pages: 21-43

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    Handle: RePEc:kap:compec:v:31:y:2008:i:1:p:21-43
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100248

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    1. Bierens, Herman J. & Swanson, Norman R., 2000. "The econometric consequences of the ceteris paribus condition in economic theory," Journal of Econometrics, Elsevier, vol. 95(2), pages 223-253, April.
    2. Dury, K. & Pina, A.M., 2000. "Fiscal Policy in EMU: Simulating the Operation of the Stability Pact," Economics Working Papers eco2000/3, European University Institute.
    3. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    4. Jenny X. Li & Peter Winker, 2003. "Time Series Simulation with Quasi Monte Carlo Methods," Computational Economics, Society for Computational Economics, vol. 21(1_2), pages 23-43, 02.
    5. Brown, Bryan W & Mariano, Roberto S, 1989. "Measures of Deterministic Prediction Bias in Nonlinear Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(3), pages 667-84, August.
    6. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
    7. Ray C. Fair, 2001. "Bootstrapping Macroeconometric Models," Cowles Foundation Discussion Papers 1345, Cowles Foundation for Research in Economics, Yale University, revised Jun 2003.
    8. Fisher, Paul & Salmon, Mark, 1985. "On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models," CEPR Discussion Papers 86, C.E.P.R. Discussion Papers.
    9. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
    10. Fair, Ray C., 1988. "Optimal choice of monetary policy instruments in a macroeconometric model," Journal of Monetary Economics, Elsevier, vol. 22(2), pages 301-315, September.
    11. Amman, Hans M & Kendrick, David A, 1999. "Should Macroeconomic Policy Makers Consider Parameter Covariances?," Computational Economics, Society for Computational Economics, vol. 14(3), pages 263-67, December.
    12. Sandor, Zsolt & Andras, P.Peter, 2004. "Alternative sampling methods for estimating multivariate normal probabilities," Journal of Econometrics, Elsevier, vol. 120(2), pages 207-234, June.
    13. Benjamin Hunt & Douglas Laxton, 2004. "The Zero Interest Rate Floor (ZIF) and its Implications for Monetary Policy in Japan," National Institute Economic Review, National Institute of Economic and Social Research, vol. 187(1), pages 76-92, January.
    14. Gregory, Allan W & Smith, Gregor W, 1991. "Calibration as Testing: Inference in Simulated Macroeconomic Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 297-303, July.
    15. Ray C. Fair, 1991. "Estimating Event Probabilities from Macroeconomic Models Using Stochastic Simulation," NBER Technical Working Papers 0111, National Bureau of Economic Research, Inc.
    16. Brown, Bryan W. & Mariano, Roberto S., 1989. "Predictors in Dynamic Nonlinear Models: Large-Sample Behavior," Econometric Theory, Cambridge University Press, vol. 5(03), pages 430-452, December.
    17. Minford, Patrick & Webb, Bruce, 2005. "Estimating large rational expectations models by FIML--some experiments using a new algorithm with bootstrap confidence limits," Economic Modelling, Elsevier, vol. 22(1), pages 187-205, January.
    18. Paul Glasserman & David D. Yao, 1992. "Some Guidelines and Guarantees for Common Random Numbers," Management Science, INFORMS, vol. 38(6), pages 884-908, June.
    19. Ray C. Fair, 1993. "Estimating Event Probabilities from Macroeconometric Models Using Stochastic Simulation," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 157-178 National Bureau of Economic Research, Inc.
    20. Reeves, Jonathan J., 2005. "Bootstrap prediction intervals for ARCH models," International Journal of Forecasting, Elsevier, vol. 21(2), pages 237-248.
    21. Franz, Wolfgang & Göggelmann, Klaus & Schellhorn, Martin & Winker, Peter, 1998. "Quasi - Monte Carlo Methods in Stochastic Simulations," ZEW Discussion Papers 98-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    22. Barrell, Ray & Pina, Alvaro M., 2004. "How important are automatic stabilisers in Europe? A stochastic simulation assessment," Economic Modelling, Elsevier, vol. 21(1), pages 1-35, January.
    23. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-91, September.
    24. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
    25. Dag Kolsrud, 2004. "On Stochastic Simulation of Forward-Looking Models," Computational Economics, Society for Computational Economics, vol. 24(2), pages 159-183, 09.
    26. 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.
    27. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    28. Fair, Ray C, 1996. "Computing Median Unbiased Estimates in Macroeconometric Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 431-35, July-Aug..
    29. Barrell, Ray & Byrne, Joseph P. & Dury, Karen, 2003. "The implications of diversity in consumption behaviour for the choice of monetary policy rules in Europe," Economic Modelling, Elsevier, vol. 20(2), pages 275-299, March.
    30. R. D. Wright & T. E. Ramsay, Jr., 1979. "On the Effectiveness of Common Random Numbers," Management Science, INFORMS, vol. 25(7), pages 649-656, July.
    31. Fair, Ray C, 1988. "Sources of Economic Fluctuations in the United States," The Quarterly Journal of Economics, MIT Press, vol. 103(2), pages 313-32, May.
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