Bianchi, Carlo and Brillet, Jean-Louis and Calzolari, Giorgio and Panattoni, Lorenzo (1987): Forecast variance in simultaneous equation models: analytic and Monte Carlo methods. Published in: INSEE, Paris, France No. Paper presented at the Seminaire d'Econometrie de Malinvaud (February 1987): pp. 1-19.
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Five alternative techniques have been applied to measure the degree of uncertainty associated with the forecasts produced by a macro-model of the French economy, the Mini-DMS developed at INSEE. They are bootstrap, analytic simulation on coefficients, Monte Carlo on coefficients, parametric stochastic simulation and re-estimation, a residual-based procedure. Due to the complexity and the size of the model (nonlinear and with more than 200 equations), several associated technical problems had to be solved. The remarkable convergence of results which has been obtained for all the main endogenous variables suggests that forecast confidence intervals are likely to be quite reliable for this model.
|Item Type:||MPRA Paper|
|Original Title:||Forecast variance in simultaneous equation models: analytic and Monte Carlo methods|
|Keywords:||Bootstrap; analytic simulation; Monte Carlo; stochastic simulation; macroeconometric model; French economy|
|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
|Depositing User:||Giorgio Calzolari|
|Date Deposited:||08. Sep 2010 07:26|
|Last Modified:||25. Feb 2013 17:28|
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