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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
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    File URL: https://mpra.ub.uni-muenchen.de/24172/1/MPRA_paper_24172.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
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    Citations

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    Cited by:

    1. 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.
    2. Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
    3. 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.
    4. Calzolari, Giorgio & Corsi, Paolo, 1977. "Stochastic simulation as a validation tool for econometric models," MPRA Paper 21226, University Library of Munich, Germany.

    More about this item

    Keywords

    Econometric models; random numbers; stochastic simulation;

    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

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