IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/24172.html
   My bibliography  Save this paper

Generation and testing of pseudo-random numbers to be used in the stochastic simulation of econometric models

Author

Listed:
  • Calzolari, Giorgio
  • Ciriani, Tito A.
  • Corsi, Paolo

Abstract

Purpose of this paper is the description of the tecniques used to generate pseudo-random numbers, to be added as disturbance terms to the stochastic structural equations of econometric models. These disturbance terms should have the same statistical properties as the residuals obtained, in each equation, during the estimation phase.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:24172
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/24172/1/MPRA_paper_24172.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. George R. Green & Maurice Liebenberg & Albert A. Hirsch, 1972. "Short- and Long-Term Simulations with the OBE Econometric Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 25-138, National Bureau of Economic Research, Inc.
    2. Henry R. Neave, 1973. "On Using the Box‐Müller Transformation with Multiplicative Congruential Pseudo‐Random Number Generators," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(1), pages 92-97, March.
    3. Michael K. Evans & Lawrence R. Klein & Mitsuo Saito & Michael D. McCarthy, 1972. "Short-Run Prediction and Long-Run Simulation of the Wharton Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 139-200, National Bureau of Economic Research, Inc.
    4. Gary Fromm & Lawrence R. Klein & George R. Schink, 1972. "Short- and Long-Term Simulations with the Brookings Model," NBER Chapters, in: Econometric Models of Cyclical Behavior, Volumes 1 and 2, pages 201-310, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "Stochastic simulation of econometric models: installation procedures and user's instructions," MPRA Paper 24173, University Library of Munich, Germany.
    3. Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
    4. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. Fair Ray C, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-26, December.
    3. Tom Baumgartner & Tom Burns & L. Meeker, 1977. "The description and analysis of system stability and change: Multi-level concepts and methodology," Quality & Quantity: International Journal of Methodology, Springer, vol. 11(4), pages 287-328, December.
    4. David C. Hoaglin, 1973. "Monte Carlo Techniques in Studying Robust Estimators," NBER Working Papers 0016, National Bureau of Economic Research, Inc.
    5. Низамутдинов М.М. & Орешников В.В., 2016. "Определение Параметров Управления Региональным Развитием На Основе Алгоритмов Нечеткой Логики," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(2), pages 30-39, апрель.
    6. George Rhodes, 1976. "Derived Demand for a Cognitive Econometric Game and Policy-making with Econometric Models," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 112(II), pages 175-190, June.
    7. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    8. Victor Zarnowitz, 1978. "On the Accuracy and Properties of Recent Macroeconomic Forecasts," NBER Working Papers 0229, National Bureau of Economic Research, Inc.
    9. Ray Fair, 2002. "Bootstrapping Macroeconometric Models," Yale School of Management Working Papers ysm254, Yale School of Management, revised 01 Aug 2007.
    10. Michalski, Raphael Joseph, 1977. "An application of consistent statistical estimation to a nonlinear macroeconomic policy model," ISU General Staff Papers 197701010800007086, Iowa State University, Department of Economics.

    More about this item

    Keywords

    Econometric models; random numbers; stochastic simulation;
    All these keywords.

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:24172. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.