Stochastic simulation as a validation tool for econometric models
The complete validation of an econometric model is a process which involves a formidable number of activities in the various steps of model building, like economic structure specification, test of hypothesis and parameter estimation, simulation behaviour and decision making. Our attention will be mainly focussed on some aspects related to simulation and decision making; in particular, the purpose of this paper is to analyze some problems of the validation process for which stochastic simulation can be profitably used.
|Date of creation:||15 Sep 1977|
|Date of revision:|
|Publication status:||Published in Models for regional planning and policy-making: proceedings of the joint IBM/IIASA conference (1977): pp. 359-369|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-36, January.
- Phoebus J. Dhrymes & E. Philip Howrey & Saul H. Hymans & Jan Kmenta & Edward E. Leamer & Richard E. Quandt & James B. Ramsey & Harold T. Shapiro & Victor Zarnowitz, 1972. "Criteria for Evaluation of Econometric Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 291-324 National Bureau of Economic Research, Inc.
- Fromm, Gary & Klein, Lawrence R, 1973. "A Comparison of Eleven Econometric Models of the United States," American Economic Review, American Economic Association, vol. 63(2), pages 385-93, May.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1976. "Divergences in the results of stochastic and deterministic simulation of an Italian non linear econometric model," MPRA Paper 21287, University Library of Munich, Germany.
- Calzolari, Giorgio & Ciriani, Tito A. & Corsi, Paolo, 1976. "Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models," MPRA Paper 24172, University Library of Munich, Germany.
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