Brillet, JeanLouis and Calzolari, Giorgio and Panattoni, Lorenzo (1986): Coherent optimal prediction with large nonlinear systems: an example based on a French model.

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Abstract
The drawbacks of predictors 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. At the same time, for analogy with univariate skewed distributions, the conditional mean may be expected to lie on the wrong side of the deterministic solution, meaning that it moves towards values of the variables which are less likely to occur, rather than towards the most probable values. Estimation of the most likely joint value of all endogenous variables is proposed as an alternative optimal predictor. Experimentation is performed on a large scale macroeconomic model of the French economy, and some considerations are drawn from the results.
Item Type:  MPRA Paper 

Original Title:  Coherent optimal prediction with large nonlinear systems: an example based on a French model 
Language:  English 
Keywords:  Macroeconometric model; French economy; mean and mode; joint distribution; coherent prediction 
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 
Item ID:  29057 
Depositing User:  Giorgio Calzolari 
Date Deposited:  31. Mar 2011 18:55 
Last Modified:  21. Feb 2013 06:46 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/29057 