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Spectral analysis of stochastic and analytic simulation results for a nonlinear model for the Italian economy

Author

Listed:
  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Cleur, Eugene M.

Abstract

When dealing with nonlinear econometric models, resort is often made to simulation techniques for the investigation of their dynamic properties. A spectral analysis using stochastic and analytic simulation is carried out on a nonlinear model of the Italian economy. The two approaces are empirically compared.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Cleur, Eugene M., 1978. "Spectral analysis of stochastic and analytic simulation results for a nonlinear model for the Italian economy," MPRA Paper 22966, University Library of Munich, Germany, revised 1978.
  • Handle: RePEc:pra:mprapa:22966
    as

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    File URL: https://mpra.ub.uni-muenchen.de/22966/1/MPRA_paper_22966.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. 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.
    2. Bert G. Hickman, 1972. "Econometric Models of Cyclical Behavior, Volumes 1 and 2," NBER Books, National Bureau of Economic Research, Inc, number hick72-1, January.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Bianchi, Carlo & Calzolari, Giorgio, 1979. "Simulation of a nonlinear econometric model," MPRA Paper 24440, University Library of Munich, Germany, revised 1980.

    More about this item

    Keywords

    Stochastic simulation; nonlinear econometric models; analytic simulation; spectral analysis; Monte Carlo methods;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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