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Cuantificarea incertitudinii folosind tehnicile de simulare stohastică

Author

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  • Pauna, Bianca

    () (National Institute of Economic Research, Romanian Academy)

Abstract

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.

Suggested Citation

  • Pauna, Bianca, 2009. "Cuantificarea incertitudinii folosind tehnicile de simulare stohastică," Working Papers of Macroeconomic Modelling Seminar 092203, Institute for Economic Forecasting.
  • Handle: RePEc:rjr:wpmems:092203
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