Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix

Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo (1981): Standard errors of multipliers and forecasts from structural coefficients with block-diagonal covariance matrix. Published in: Dynamic Modelling and Control of National Economies (IFAC) No. Ed. by J. M. L. Janssen, L. F. Pau, and A. J. Straszak. Oxford: Pergamon Press (1981): pp. 311-316.

Abstract

For some structural econometric models, the contribution of the off-diagonal blocks of the coefficients covariance matrix to the asymptotic standard errors of multipliers and forecasts is empirically evaluated.

• Item Type: MPRA Paper
• Language: English
• Keywords: Econometric models; impact multipliers; forecast errors; asymptotic standard errors; structural form; reduced form; coefficients covariance matrix
• 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

References

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