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Stochastic simulation as a validation tool for econometric models


  • Calzolari, Giorgio
  • Corsi, Paolo


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.

Suggested Citation

  • Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:21226

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    References listed on IDEAS

    1. 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 385-393, May.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
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    Cited by:

    1. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio & Panattoni, Lorenzo, 1987. "Forecast variance in simultaneous equation models: analytic and Monte Carlo methods," MPRA Paper 24541, University Library of Munich, Germany.
    2. Fair Ray C, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-26, December.
    3. 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.
    4. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
      [Forecast variance in econometric models]
      ," MPRA Paper 23866, University Library of Munich, Germany.
    5. Fair, Ray C., 1986. "Evaluating the predictive accuracy of models," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 33, pages 1979-1995 Elsevier.

    More about this item


    Econometric models; nonlinear simultaneous equations; stochastic simulation;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General


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