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La varianza delle previsioni nei modelli econometrici
[Forecast variance in econometric models]

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  • Calzolari, Giorgio

Abstract

In econometric models specified as systems of simultaneous equations, forecast errors can be regarded as random variables whose variances can be investigated, analyzed and estimated. This book summarizes results available in the literature for linear and nonlinear econometric models, when forecasts are one-step ahead or multi-steps ahead. Theoretical, practical and computational problems are considered. Complete data-sets and detailed numerical results are provided for several models; these results can be replicated by econometric researches when "tuning" their computer algorithms.

Suggested Citation

  • Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici
    [Forecast variance in econometric models]
    ," MPRA Paper 23866, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:23866
    as

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    File URL: https://mpra.ub.uni-muenchen.de/23866/1/MPRA_paper_23866.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Econometric models; simultaneous equations; forecast; variance of forecast error;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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