Bianchi, Carlo and Brillet, Jean-Louis and Calzolari, Giorgio (1983): Analysis and measurement of the uncertainty in Mini-Dms model for the French economy.
Download (691kB) | Preview
It is purpose of this paper to evidence, in the behaviour of the Mini-DMS model for the French economy, some stochastic properties which may confirm, strengthen or sometimes contradict the results obtained from the standard simulation analysis, which is purely deterministic. In particular, the model's capabllities in forecasting, in economic policy experiments, and the model's dynamic behaviour will be faced by regarding forecasts, multipliers and cbaracteristic roots as point estimates and associating with them a measure of dispersion, like a standard error.
|Item Type:||MPRA Paper|
|Original Title:||Analysis and measurement of the uncertainty in Mini-Dms model for the French economy|
|Keywords:||Macroeconometric model; French economy; stochastic simulation; dynamic properties; forecasting|
|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:||17 Mar 2011 15:29|
|Last Modified:||18 Nov 2016 11:41|
Bianchi,C. and G.Calzolari (1980), "The One-Period Forecast Errors in Nonlinear Econometric Models", International Economic Review 21, 201-208.
Bianchi,C., G.Calzolari and P.Corsi (1981), "Estimating Asymptotic Standard Errors and Inconsistencies of Impact Multipliers in Nonlinear Econometric Models", Journal of Econometrics 16, 277-294.
Bianchi.C., G.Calzolari, P.Corsi and L.Panattoni (1981), "Asymptotic Properties of Dynamic Multipliers in Nonlinear Econometric Models", presented at the Conference of the Society for Economic Dynamics and Control. Lyngby: Technical University of Denmark, June 22-24.
Brillet,J.L. (1981a), Mini-DMS: Modele Macroeconomique de Simulation. Paris: INSEE, Archives & Documents No.35.
Brillet,J.L. (1981b), La Dynamique de Mini-DMS. Paris: INSEE, Service des Programmes, working paper No.320/113.
Brundy, J. M. and D. W. Jorgenson (1971), "Efficient Estimation of Simultaneous Equations by Instrumental Variables", The Review of Economics and Statistics 53, 207-224.
Calzolari,G. (1979), "Antithetic Variates to Estimate the Simulation Bias in Non-Linear Models", Economics Letters 4, 323-328.
Cheng,R.C.H. (1982), "The Use of Antithetic Variates in Computer Simulations", Journal of the Operational Research Society 33, 229-237.
Dhrymes,P.J. (1973), "Restricted and Unrestricted Reduced Forms: Asymptotic Distribution and Relative Efficiency", Econometrica 41, 119-134.
Evans,M.K. and L.R.Klein (1968), The Wharton Econometric Forecasting Model. Philadelphia: Economics Research Unit, University of Pennsylvania.
Fair,R.C. (1980), "Estimating the Expected Predictive Accuracy of Econometric Models", International Economic Review 21, 355 -378.
Fouquet,D., J.M.Charpin, H.Guillaume, P.A.Muet et D.Vallet (1978), DMS, Modele Dynamique Multisectoriel. Paris: Collections de l'INSEE, Serie C, No.64-65.
Gallant,A.R. (1977), "Three-Stage Least-Squares Estimation for a System of Simultaneous, Nonlinear, Implicit Equations", Journal of Econometrics 5, 71-88.
Gill,L. and S.N.Brissimis (1978), "Polrnomial Operators and the Asymptotic Distribution of Dynamic Multipliers', Journal of Econometrics 7, 373-384.
Goldberger,A.S., A.L.Nagar and H.S.Odeh (1961), "The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model", Econometrica 29, 556-573.
Gustafson,E.F. (1978), "Testing Unstable Econometric Models for Stability; an Empirical Study", Journal of Econometrics 8, 193-201.
Howrey,E.P. and H.H.Kelejian (1971), "Simulation versus Analytical Solutions: the Case of Econometric Models", in Computer Simulation Experiments with Models of Economic Systems, ed. by T.H.Naylor. New York: John Wiley, 299-319.
Malgrange,P. (1981), "Note sur le Calcul des Valeurs Propres d'un Modele Macroeconometrique", Annales de l'INSEE 41, 67-77.
McCarthy,M.D. (1972), "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. New York: NBER, Studies in Income and Wealth No.36, 185-191.
Neudecker,H. and C. van de Panne (1966) , "Note on the Asymptotic Standard Errors of Latent Roots of Econometric Equation Systems", Review of the International Statistical Institute 34, 43-47.
Oberhofer,W. and J.Kmenta (1973) , "Estimation of Standard Errors of the Characteristic Roots of a Dynamic Econometric Model", Econometrica 41, 171-177.
Rao,C.R. (1973), Linear Statistical Inference and its Applications, New York: John Wiley.
Schmidt,P. (1976), Econometrics. New York: Marcel Dekker.
Theil,H. and J.C.G.Boot (1962), "The Final Form of Econometric Equation Systems", Review of the International Statistical Institute 30, 136-152.