Bianchi, Carlo and Calzolari, Giorgio (1983): Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results. Published in: Time Series Analysis: Theory and Practice, ed. by O.D.Anderson No. Amsterdam: North Holland (1983): pp. 177198.
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Abstract
In nonlinear econometric models, the evaluation of forecast errors is usually performed, completely or partially, by resorting to stochastic simulation. However, for evaluating the specific contribution of errors in estimated structural coefficients, several alternative methods have been proposed in the literature. Three of these methods will be compared empirically in this paper through experiments performed on a set of "real world" econometric models of small, medium and large size. This work extends to dynamic simulation of nonlinear econometric models, for which the authors have recently analysed the oneperiod (static) forecast errors empirically.
Item Type:  MPRA Paper 

Original Title:  Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results 
Language:  English 
Keywords:  Nonlinear econometric models; forecast; Monte Carlo; standard errors 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods; Simulation Methods C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models; Multiple Variables > C30  General 
Item ID:  22657 
Depositing User:  Giorgio Calzolari 
Date Deposited:  17. May 2010 13:23 
Last Modified:  17. Feb 2013 21:34 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/22657 
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