Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results

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. 177-198.

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 one-period (static) forecast errors empirically.

• Item Type: MPRA Paper
• 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

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