Stochastic simulations on the Romanian macroeconomic model
The paper presents the methodology for attaching probability distribution or intervals of variation to point forecasts. This methodology might prove significant for countries that have suffered deep structural transformations in their not very distant past. For these models, stability is more difficult to be achieved, because some coefficients lack accuracy of estimation, and this is not visible until intervals of variation are constructed. Forecasts consist traditionally in sets of values of key economic indicators, with no information regarding the associated uncertainty. Our assessment is that policy makers would benefit if they would be given probabilities as well as values, and the methodology of stochastic simulation, presented in this paper quantifies the uncertainty of the coefficients of the behavioural equations, on a reduced version of the Romanian Market Economy Model. In our paper we present the advantages of applying stochastic simulation on macromodels of emerging market economies, both from a cognitive and practical perspective. On one hand, researchers have an instrument to check the operational properties of a given model, and subsequently improve them, and, on the other hand, policy makers by incorporating the uncertainty into the decisional mechanism, have additional information which would help them in efficiently defining and promoting their targets.
|Date of creation:||05 Dec 2007|
|Date of revision:|
|Publication status:||Published in Proceedings of the 34th international conference "Macromodels 2007", Poland, Raszyn, December 5-8, 2007 (2008): pp. 61-84|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- O'Brien, Anthony Patrick, 1993. "Business Cycles: Theory, History, Indicators, and Forecasting. By Victor Zarnowitz. Chicago: University of Chicago Press, 1992. Pp. xvii, 593. $70.00," The Journal of Economic History, Cambridge University Press, vol. 53(01), pages 211-213, March.
- Franz, Wolfgang & Göggelmann, Klaus & Schellhorn, Martin & Winker, Peter, 1998. "Quasi-Monte Carlo Methods in Stochastic Simulations: An Application to Fiscal Policy Simulations using an Aggregate Disequilibrium Model of the West German Economy," ZEW Discussion Papers 98-03, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- 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 355-78, June.
- Ray C. Fair, 1978. "Estimating the Expected Predictive Accuracy of Econometric Models," Cowles Foundation Discussion Papers 480, Cowles Foundation for Research in Economics, Yale University.
- Dobrescu, Emilian, 1996. "Macromodels of the Romanian transition Economy," MPRA Paper 35810, University Library of Munich, Germany.
- Boehm, Ernst A., 1993. "Business cycles: Theory, history, indicators, and forecasting : Victor Zarnowitz, 1992, (University of Chicago Press, Chicago), xvii + 593 pp., $70.00, ISBN 0-226-97890-7," International Journal of Forecasting, Elsevier, vol. 9(2), pages 275-277, August.
- Dobrescu, Emilian, 2005. "Macromodel Estimations For The Updated 2004 Version Of The Romanian Pre-Accession Economic Programme - Working Paper," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 2(1), pages 5-29.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:35723. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.