Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo (1977): The asymptotic distribution of impact multipliers for a nonlinear structural econometric model,. Published in: Seminari di Econometria e di Matematica Applicata. Universita' degli Studi di Modena: Istituto StatisticoMatematico, Facolta' di Economia e Commercio, (1979): pp. 124.

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Abstract
The problem of deriving asymptotic statistical properties of impact multipliers from a consistent estimate of a structural nonlinear econometric model is discussed. The theoretical aspects, which generalize the results derived by Goldberger, Nagar and Odeh for linear models, are analyzed in detail, as well as the numerical (computational) aspects. Numerical results are finally displayed for an econometric model well known in the literature.
Item Type:  MPRA Paper 

Original Title:  The asymptotic distribution of impact multipliers for a nonlinear structural econometric model, 
Language:  English 
Keywords:  Asymptotic standard errors; impact multipliers; econometric models 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C30  General 
Item ID:  24537 
Depositing User:  Giorgio Calzolari 
Date Deposited:  03. Sep 2010 14:38 
Last Modified:  18. Feb 2013 00:49 
References:  [1] BIANCHI C., G. CALZOLARI and P. CORSI, "A Program for Stochastic Simulation of Econometric Models", Econometrica, 46 (1978), 235236. [2] BIANCHI C., G. CALZOLARI and P. CORSI, "A Note on the Numerical Results by Go1dberger, Nagar and Odeh", Econometrica, 47 (1979), 505506. [3] CHRIST C. F., Econometric Models and Methods, John Wiley, New York, (1967). [4] DHRYMES P. J., Econometrics: Statistical Foundations and Applications, Harper & Row, New York, (1970). [5] DHRYMES P. J., "Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency", Econometrica, 41 (1973), 119134. [6] EVANS M. K. and L. R. KLEIN, The Wharton Econometric Forecasting Model, Economics Research Unit, University of Pennsylvania, (1968). [7] GOLDBERGER A. S., Econometric Theory, John Wiley, New York, (1964). [8] GOLDBERGER A. S., Impact Multipliers and Dynamic Properties of the KleinGoldberger Model, North Holland, Amsterdam, (1970). [9] GOLDBERGER A. S., A. L. NAGAR and H. S. ODEH, "The Covariance Matrices of ReducedForm Coefficients and of Forecasts for a Structural Econometric Model", Econometrica, 29 (1961), 556573. [10] HAVENNER A. M., "Computer Algorithm: Derived Reduced Form Coefficient Covariances", Econometrica, 44 (1976), 837. [11] 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), 299319. [12] JAMES R. C., Advanced Calculus, Wadsworth, Belmont, (1966). [13] KLEIN L. R., "Estimation of Interdependent Systems in Macroeconometrics", Econometrica, 37 (1969), 171192. [14] RAO C. R., Linear Statistical Inference and Applications, John Wiley, New York, (1965). [15] THEIL H., Principles of Econometrics, North Holland, Amsterdam, (1971). [16] WILKS S. S., Mathematical Statistics, New York, John Wiley, (1962). 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/24537 