Munich Personal RePEc Archive

La varianza delle previsioni nei modelli econometrici

Calzolari, Giorgio (1987): La varianza delle previsioni nei modelli econometrici. Published in: CLEUP Editore - Padova - Italy , Vol. 3, No. Serie didattica (November 1987): pp. 1-230.


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In econometric models specified as systems of simultaneous equations, forecast errors can be regarded as random variables whose variances can be investigated, analyzed and estimated. This book summarizes results available in the literature for linear and nonlinear econometric models, when forecasts are one-step ahead or multi-steps ahead. Theoretical, practical and computational problems are considered. Complete data-sets and detailed numerical results are provided for several models; these results can be replicated by econometric researches when "tuning" their computer algorithms.

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