Munich Personal RePEc Archive

Il problema della coerenza delle previsioni nei modelli econometrici non lineari

Calzolari, Giorgio and Panattoni, Lorenzo (1988): Il problema della coerenza delle previsioni nei modelli econometrici non lineari. Published in: Atti della XXXIV Riunione Scientifica della Societa' Italiana di Statistica No. Siena: Nuova Immagine Editrice, Vol 2/1 (April 1988): pp. 271-278.

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Abstract

Problems related to deterministic solution of nonlinear econometric models are well known in the literature. The use of mean (average) stochastic simulation results has been usually proposed to solve the problem of bias. This raises however other types of problems, like possible non-coherent solutions (and forecasts). In this paper we propose the use of the mode of the joint distribution of the endogenous variables, and apply the technique to a nonlinear macroeconometric model of the Italian economy.

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