Stochastic simulation and dynamic properties of the new version of the Italian model

Bianchi, Carlo and Calzolari, Giorgio and Cleur, Eugene M. and Gambetta, Guido and Stagni, Anna and Sterbenz, Frederic (1978): Stochastic simulation and dynamic properties of the new version of the Italian model.

Abstract

This paper describes the results of some stochastic simulation experiments performed on the most updated version of the Italian model. Due to a change in the income accounts system, the model has been completely reestimated using the new quarterly data. It consists of 128 equations, 50 of which are stochastic. As regards to the structure of the model, the main differences with respect to the previous version lie in the income sector: now the different components of income distribution are determined endogenously and disaggregated by sector, and affect directly private disposable income. Stochastic simulation has been performed using the program described in [1]. The generation of pseudo randorn numbers with multivariate normal distribution has been performed using the Box-Muller technique [3] and McCarthy algorithm [9].

• Item Type: MPRA Paper
• Language: English
• Keywords: Stochastic simulation; econometric model; Italian economy; project Link
• 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

References

[1] Bianchi,C., G.Calzolari an P.Corsi, "A Program for Stochastic Simulation of Fconometric Models", Econometrica, 46 (1978), 235-236.

[2] Bianchi,C., G.Calzolari and P.Corsi, "Some Results on the Stochastic Simulation of a Non Linear Model of the Italian Economy", in "Proceedings of the 2nd International Conferenee on Dynamic Modelling and Control of National Economies, Vienna, January 1977", ed. by J.M.L.Janssen, L.P.Pau and A.Straszak, North Holland, Amsterdam, (1978, forthcoming).

[3] Box,G.E.P., and M.E.Muller, "A Note on the Generation of Random Normal Deviates", Ann. Math. Stat., 29 (1958), 610-611.

[4] D'Adda,C., E.De Antoni, G.Gambetta, P.Onofri and A.Stagni, "Un Modello per l'Economia Italiana", Il Mulino, Bologna, (1976, in Italian).

[5] Goldberger,A.S., A.L.Nagar and H.S.Odeh, "The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model", Econometrica, 29 (1961), 556-573.

[6] Hickman,B.G., editor, "Econometric Models of Cyclical Behavior", Studies in Income and Wealth n.36, NBER, New York, (1972).

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

[8] Howrey,E.P. and L.R.Klein, "Dynamic Properties of Nonlinear Econometric Models", International Economic Review, 13 (1972), 599-618.

[9] McCarthy,M.D., "Some Notes on the Generation of Pseudo-structural Errors for Use in Stochastic Simulation Studies", in "Econometric Models of Cyclical Behavior", ed. by B.G.Hickman, Studies in Income and Wealth n.36, NBER, New York, (1972), 185-191,

[10] Sterbenz,F., "Simple Independence Model of the Stochastic Simulation of the Link System", Discussion paper distributed at the Annual Meeting of Project Link, Athens, (1978).