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Cuantificarea incertitudinii folosind tehnicile de simulare stohastică

  • Pauna, Bianca


    (National Institute of Economic Research, Romanian Academy)

Lucrarea prezintă modul de a cuantifica incertitudinea în cazul modelelor economice, datorită faptului că in ecuaţiile comportamentale coeficienţii econometrici sunt variabile aleatore şi nu se cunoaşte valoarea lor, ci numai un estimat al acesteia. Aplicând metode de simulare stohastică, obţinem în locul unui estimat, o distribuţie a coeficienţilor econometrici, calculaţi cu ajutorul bootstrapării. Folosind valorile calculate ale coeficienţilor econometrici, se poate calcula distribuţia variabilei de interes şi se pot obţine probabilităţile asociate diverselor intervale de variaţei, cu alte cuvinte se poate cuantifica incertitudinea privind valorile variabilei.

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Paper provided by Institute for Economic Forecasting in its series Working Papers of Macroeconomic Modelling Seminar with number 092203.

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Length: 18 pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:rjr:wpmems:092203
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