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Uncertainty of policy recommendations for nonlinear econometric models: some empirical results

Author

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

Abstract

A method for evaluating the reliability of policy recommendations derived from a linear dynamic structural econometric model in the framework of the linear quadratic control problem has been recently proposed by Friedmann (1980, 1981). The method analytically derives the asymptotic distribution of the estimated optimal policy and in particular the asymptotic standard errors of policy instruments, with respect to structural coefficients estimation errors. The use of analytic simulation and of Monte Carlo techniques allows to extend Friedmann's findings to medium and large size dynamic linear models and to nonlinear econometric models. Empirical results for some nonlinear models of national economies are reported in the paper.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:28846
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    File URL: https://mpra.ub.uni-muenchen.de/28846/1/MPRA_paper_28846.pdf
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    References listed on IDEAS

    as
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    3. Fair, Ray C, 1980. "Estimating the Uncertainty of Policy Effects in Nonlinear Models," Econometrica, Econometric Society, vol. 48(6), pages 1381-1391, September.
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    5. Bianchi, Carlo & Calzolari, Giorgio, 1982. "Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods," MPRA Paper 22559, University Library of Munich, Germany.
    6. Calzolari, Giorgio, 1981. "A Note on the Variance of Ex-Post Forecasts in Econometric Models," Econometrica, Econometric Society, vol. 49(6), pages 1593-1595, November.
    7. Gallant, A. Ronald, 1977. "Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations," Journal of Econometrics, Elsevier, vol. 5(1), pages 71-88, January.
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    More about this item

    Keywords

    Nonlinear econometric models; optimal control; policy instruments; asymptotic standard errors;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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