La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana
[The variance of forecast errors in econometric models: application to a nonlinear model of the Italian economy]
When econometric models are used as forecasting tools, forecast errors can be decomposed into several components, one of which is due to estimation errors, while another one is due to the stochastic nature of the variables to be predicted. Conditional on model's specification and on the predetermined variables, it is possible to compute a standard error of forecasts one-step-ahead.
|Date of creation:||23 Oct 1978|
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- Bianchi, Carlo & Calzolari, Giorgio, 1980. "The One-Period Forecast Errors in Nonlinear Econometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 201-08, February.
- Havenner, Arthur M, 1976. "Computer Algorithm: Derived Reduced Form Coefficient Covariances," Econometrica, Econometric Society, vol. 44(4), pages 836, July.
- Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1978. "A Program for Stochastic Simulation of Econometric Models," Econometrica, Econometric Society, vol. 46(1), pages 235-36, January.
- Schmidt, Peter, 1974. "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model," Econometrica, Econometric Society, vol. 42(2), pages 303-09, March.
- 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 505-06, March.
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