Calzolari, Giorgio and Panattoni, Lorenzo (1988): Coherent Forecast with Nonlinear Econometric Models. Published in: paper presented at The Eighth International Symposium on Forecasting. Universiteit van Amsterdam and Vrije Universiteit Amsterdam, June 12-15. (12 June 1988): pp. 1-6.
Download (324kB) | Preview
The drawbacks of forecasts obtained with the usual deterministic solution methods in nonlinear systems of stochastic equations have been widely investigated in the literature. Most of the proposed therapies are based on some estimation of the conditional mean of the endogenous variables in the forecast period. This however provides a solution to the problem which does not respect the internal coherency of the model, and in particular does not satisfy nonlinear identities. This paper proposes to estimate the mode of the joint distribution of the endogenous variables as an alternative optimal predictor.
|Item Type:||MPRA Paper|
|Original Title:||Coherent Forecast with Nonlinear Econometric Models|
|Keywords:||Nonlinear econometric models; stochastic simulation; mean and mode; coherent solution|
|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
|Depositing User:||Giorgio Calzolari|
|Date Deposited:||11 Feb 2011 18:31|
|Last Modified:||19 Dec 2016 11:16|
Amemiya, T. (1983): "Non-linear Regression Models", in in Handbook of Econometrics, ed. by Z. Griliches and M. D. Intriligator. Amsterdam: North-Holland Publishing Company, Vol. I, 333-389.
Brillet, J.L., G.Calzolari, and L.Panattoni (1986): "Coherent Optimal Prediction with Large Nonlinear Systems: An Example Based on a French Model". Paris: INSEE, Service des Programmes, discussion paper presented at the European Meeting of the Econometric Society. Budapest, September 1-5.
Damiani, M. (1987): "Uno Schema Macroeconomico di Simulazione per l'Economia Italiana". Universita' di Perugia, Facolta' di Scienze Politiche, mimeo.
Dennis, J.E., and J.J. More' (1977): "Quasi-Newton Methods, Motivation and Theory", SIAM Review 19, 46-89.
Rothenberg,T.J. and C.T.Leenders (1964), "Efficient Estimation of Simultaneous Equation Systems", Econometrica 32, 57-16.
Sikorski, R. (1969): Advanced Calculus. Functions of Several Variables. Warszawa: PWN - Polish Scientific Publishers.
Sylos Labini, P. (1987): The Theory of Unemployment, too, is Historically Conditioned" Banca Nazionale del Lavoro Quarterly Review 163, 379-43a.