The deterministic simulation bias in the Klein-Goldberger model

Calzolari, Giorgio (1979): The deterministic simulation bias in the Klein-Goldberger model. Published in: Institut fuer Gesellschafts- u. Wirtschaftswissenschaften der Universitaet Bonn No. 100 (July 1979): pp. 1-6.

Abstract

Stochastic simulation with antithetic variates is used to evaluate the bias of deterministic simulation in nonlinear econometric models. Application to the Klein-Goldberger model exemplifies the potentiality of the method.

• Item Type: MPRA Paper
• Language: English
• Keywords: Stochastic simulation; nonlinear econometric models; antithetic variates; variance reduction; Klein-Goldberger model
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C63 - Computational Techniques; Simulation Modeling; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C30 - General

References

Bianchi,C. and G.Calzolari, "The One-Period Forecasts Errors in Nonlinear Econometric Models", International Economic Review, (1979 or 1980, forthcoming).

Howrey,E.P. and H.H.Kelejian, "Simulation Versus Analytical Solutions: the Case of Econometric Models", in T.H.Naylor, ed., Computer Simulation Experiments with Models of Economic Systems, (New York: John Wiley, 1971), 299-319.

Moy,W.A., "Variance Reduction", in T.H.Naylor, ed., Computer Simulation Experiments with Models of Economic Systems, (New York: John Wiley, 1971), 269-289.