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A package for analytic simulation of econometric models

Author

Listed:
  • Bianchi, Carlo
  • Calzolari, Giorgio
  • Corsi, Paolo

Abstract

Some analytic simulation techniques for the analysis of the reduced form and of the dynamic properties of econometric models are described. Comparisons are made with analytical methods available for linear models.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A package for analytic simulation of econometric models," MPRA Paper 24134, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24134
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    File URL: https://mpra.ub.uni-muenchen.de/24134/1/MPRA_paper_24134.pdf
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    References listed on IDEAS

    as
    1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Note on the Numerical Results by Goldberger, Nagar, and Odeh," Econometrica, Econometric Society, vol. 47(2), pages 505-506, March.
    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. Gill, Leonard & Brissimis, Sophocles N., 1978. "Polynomial operators and the asymptotic distribution of dynamic multipliers," Journal of Econometrics, Elsevier, vol. 7(3), pages 373-384, April.
    4. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, vol. 41(1), pages 161-164, January.
    5. Bianchi, Carlo & Calzolari, Giorgio, 1980. "The One-Period Forecast Errors in Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 201-208, February.
    6. 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.
    7. McCarthy, Michael D, 1972. "A Note on the Forecasting Properties of Two Stage Least Squares Restricted Reduced Forms-The Finite Sample Case," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(3), pages 757-761, October.
    8. Brissimis, Sophocles N & Gill, Leonard, 1978. "On the Asymptotic Distribution of Impact and Interim Multipliers," Econometrica, Econometric Society, vol. 46(2), pages 463-469, March.
    9. Schmidt, Peter, 1977. "Some Small Evidence on the Distribution of Dynamic Simulation Forecasts," Econometrica, Econometric Society, vol. 45(4), pages 997-1005, May.
    10. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-192, April.
    11. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "Some results on the stochastic simulation of a nonlinear model of the Italian economy," MPRA Paper 22684, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Econometric models; structural form; reduced form; analytic simulation; stochastic simulation; impact multipliers; dynamic multipliers; forecast errors; asymptotic standard errors;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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