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Finite-Sample Properties Of Stochastic Predictors In Nonlinear Systems: Some Initial Results

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  • Mariano, Roberto S.

Abstract

Many econometric models for forecasting and policy analysis consist of a statistically estimated system of nonlinear stochastic equations. The distinguishing feature of these models is the nonlinearity of the solution for the endogenous variables in terms of model disturbances. Despite the widespread use of these models, there has been little formal analysis of predictions based on such models. Furthermore, practitioners' validation of such models has proceeded, for the most part, on a informal basis.
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Suggested Citation

  • Mariano, Roberto S., 1985. "Finite-Sample Properties Of Stochastic Predictors In Nonlinear Systems: Some Initial Results," Economic Research Papers 269232, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:269232
    DOI: 10.22004/ag.econ.269232
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    1. Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 71440, University Library of Munich, Germany.
    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 355-378, June.
    3. Fisher, Paul & Salmon, Mark, 1986. "On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 625-646, October.
    4. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
    5. 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 321-343, March.
    6. 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.
    7. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
    8. 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 523-536, October.
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