Stochastic simulation as a validation tool for econometric models
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- 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.
- 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.
- 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.
- 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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- 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.
- Fair Ray C, 2003.
"Bootstrapping Macroeconometric Models,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 7(4), pages 1-26, December.
- Ray C. Fair, 2001. "Bootstrapping Macroeconometric Models," Cowles Foundation Discussion Papers 1345, Cowles Foundation for Research in Economics, Yale University, revised Jun 2003.
- Ray Fair, 2002. "Bootstrapping Macroeconometric Models," Yale School of Management Working Papers ysm254, Yale School of Management, revised 01 Aug 2007.
- Fair, Ray C, 1980.
"Estimating the Expected Predictive Accuracy of Econometric Models,"
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Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-378, June.
- Ray C. Fair, 1978. "Estimating the Expected Predictive Accuracy of Econometric Models," Cowles Foundation Discussion Papers 480, Cowles Foundation for Research in Economics, Yale University.
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"La varianza delle previsioni nei modelli econometrici
[Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
- 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
KeywordsEconometric models; nonlinear simultaneous equations; stochastic simulation;
- 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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