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Asymptotic properties of dynamic multipliers in nonlinear econometric models

Author

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

Abstract

This paper deals with methods to estimate standard errors of dynamic multipliers. These methods can be applied to nonlinear macroeconometric models, thus extending methods available in the literature for linear models.

Suggested Citation

  • Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Panattoni, Lorenzo, 1985. "Asymptotic properties of dynamic multipliers in nonlinear econometric models," MPRA Paper 24401, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24401
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    File URL: https://mpra.ub.uni-muenchen.de/24401/1/MPRA_paper_24401.pdf
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    References listed on IDEAS

    as
    1. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Estimating asymptotic standard errors and inconsistencies of impact multipliers in nonlinear econometric models," Journal of Econometrics, Elsevier, vol. 16(3), pages 277-294, August.
    2. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
    3. Amemiya, Takeshi, 1983. "Non-linear regression models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 6, pages 333-389, Elsevier.
    4. Bianchi, Carlo & Calzolari, Giorgio, 1980. "A simulation approach to some dynamic properties of econometric models," MPRA Paper 24421, University Library of Munich, Germany.
    5. 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.
    6. Bianchi, Carlo & Calzolari, Giorgio & Sartori, Franco, 1982. "Stime 2SLS con componenti principali di un modello non lineare dell' economia italiana [2SLS with principal components: estimation of a nonlinear model of the Italian economy]," MPRA Paper 22665, University Library of Munich, Germany, revised 1982.
    7. Hatanaka, Michio, 1978. "On the efficient estimation methods for the macro-economic models nonlinear in variables," Journal of Econometrics, Elsevier, vol. 8(3), pages 323-356, December.
    8. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-1391, September.
    9. Schmidt, Peter, 1973. "The Asymptotic Distribution of Dynamic Multipliers," Econometrica, Econometric Society, vol. 41(1), pages 161-164, January.
    10. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-224, August.
    11. 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.
    12. Klein, Lawrence R, 1969. "Estimation on Interdependent Systems in Macroeconometrics," Econometrica, Econometric Society, vol. 37(2), pages 171-192, April.
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    Citations

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    Cited by:

    1. Calzolari, Giorgio & Bianchi, Carlo & Corsi, Paolo & Panattoni, Lorenzo, 1982. "Uncertainty of policy recommendations for nonlinear econometric models: some empirical results," MPRA Paper 28846, University Library of Munich, Germany.
    2. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1983. "Analysis and measurement of the uncertainty in Mini-Dms model for the French economy," MPRA Paper 29056, University Library of Munich, Germany.
    3. Bianchi, Carlo & Brillet, Jean-Louis & Calzolari, Giorgio, 1984. "Analyse et mesure de l'incertitude en prevision d'un modele econometrique. Application au modele mini-DMS [Analysis and measurement of forecast uncertainty in an econometric model. Application to m," MPRA Paper 22565, University Library of Munich, Germany, revised 1984.

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    20. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo & Panattoni, Lorenzo, 1980. "Significance of the characteristic roots of linearized econometric models," MPRA Paper 24882, University Library of Munich, Germany.

    More about this item

    Keywords

    Macroeconometric models; multipliers; asymptotic standard errors; inconsistency;
    All these keywords.

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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