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Stochastic simulation experiments on Model 5 of Bonn University

Author

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  • Calzolari, Giorgio

Abstract

Results of stochastic simulation experiments are described in this paper. The model experimented with is a large scale macroeconometric model, developed at the University of Bonn for the German economy (Model 5).

Suggested Citation

  • Calzolari, Giorgio, 1979. "Stochastic simulation experiments on Model 5 of Bonn University," MPRA Paper 24456, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:24456
    as

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    File URL: https://mpra.ub.uni-muenchen.de/24456/1/MPRA_paper_24456.pdf
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    References listed on IDEAS

    as
    1. Schmidt, Peter, 1978. "A Note on Dyamic Simulation Forecasts and Stochastic Forecast-Period Exogenous Variables," Econometrica, Econometric Society, vol. 46(5), pages 1227-1230, September.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. Fair, Ray C, 1980. "Estimating the Expected Predictive Accuracy of Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(2), pages 355-378, June.
    7. 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.
    8. 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.
    9. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1979. "A Monte Carlo approach to compute the asymptotic standard errors of dynamic multipliers," Economics Letters, Elsevier, vol. 2(2), pages 161-164.
    10. Schmidt, Peter, 1977. "Some Small Evidence on the Distribution of Dynamic Simulation Forecasts," Econometrica, Econometric Society, vol. 45(4), pages 997-1005, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Stochastic simulation; macroeconometric model; German economy;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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