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Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results

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  • Mariano, Roberto S

Abstract

Many econometric models for forecasting and policy analysis consist of a statistically estimated system of nonlinear stochastic equations. The distinguishing feature of these models is the nonlinearity of the solution for the endogenous variables in terms of model disturbances. Despite the widespread use of these models, there has been little formal analysis of predictions based on such models. Furthermore, practitioners' validation of such models has proceeded, for the most part, on a informal basis.

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  • Mariano, Roberto S, 1985. "Finite-Sample Properties in Stochastic Predictors in Nonlinear Systems : Some Initial Results," The Warwick Economics Research Paper Series (TWERPS) 266, University of Warwick, Department of Economics.
  • Handle: RePEc:wrk:warwec:266
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    File URL: https://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/1978-1988/twerp266.pdf
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    1. Calzolari, Giorgio, 1979. "Antithetic variates to estimate the simulation bias in non-linear models," Economics Letters, Elsevier, vol. 4(4), pages 323-328.
    2. 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 355-378, June.
    3. 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 201-208, February.
    4. Brown, Bryan W & Mariano, Roberto S, 1984. "Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System," Econometrica, Econometric Society, vol. 52(2), pages 321-343, March.
    5. Fisher, Paul & Salmon, Mark, 1986. "On Evaluating the Importance of Nonlinearity in Large Macroeconometric Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 625-646, October.
    6. Mariano, Roberto S & Brown, Bryan W, 1983. "Asymptotic Behavior of Predictors in a Nonlinear Simultaneous System," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(3), pages 523-536, October.
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