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Stochastic simulation and dynamic properties of the new version of the Italian model

Author

Listed:
  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Cleur, Eugene M.
  • Gambetta, Guido
  • Stagni, Anna
  • Sterbenz, Frederic

Abstract

This paper describes the results of some stochastic simulation experiments performed on the most updated version of the Italian model. Due to a change in the income accounts system, the model has been completely reestimated using the new quarterly data. It consists of 128 equations, 50 of which are stochastic. As regards to the structure of the model, the main differences with respect to the previous version lie in the income sector: now the different components of income distribution are determined endogenously and disaggregated by sector, and affect directly private disposable income. Stochastic simulation has been performed using the program described in [1]. The generation of pseudo randorn numbers with multivariate normal distribution has been performed using the Box-Muller technique [3] and McCarthy algorithm [9].

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Cleur, Eugene M. & Gambetta, Guido & Stagni, Anna & Sterbenz, Frederic, 1978. "Stochastic simulation and dynamic properties of the new version of the Italian model," MPRA Paper 23355, University Library of Munich, Germany, revised Oct 1978.
  • Handle: RePEc:pra:mprapa:23355
    as

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    File URL: https://mpra.ub.uni-muenchen.de/23355/1/MPRA_paper_23355.pdf
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    References listed on IDEAS

    as
    1. Howrey, E Philip & Klein, Lawrence R, 1972. "Dynamic Properties of Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(3), pages 599-618, October.
    2. 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.
    3. Bert G. Hickman, 1972. "Econometric Models of Cyclical Behavior, Volumes 1 and 2," NBER Books, National Bureau of Economic Research, Inc, number hick72-1.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Stochastic simulation; econometric model; Italian economy; project Link;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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