La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana

Bianchi, Carlo and Calzolari, Giorgio (1978): La varianza dell'errore di previsione nei modelli econometrici: applicazione ad un modello nonlineare dell'economia italiana.

Abstract

When econometric models are used as forecasting tools, forecast errors can be decomposed into several components, one of which is due to estimation errors, while another one is due to the stochastic nature of the variables to be predicted. Conditional on model's specification and on the predetermined variables, it is possible to compute a standard error of forecasts one-step-ahead.

• Item Type: MPRA Paper
• English Title: The variance of forecast errors in econometric models: application to a nonlinear model of the Italian economy
• Language: Italian
• Keywords: Forecast errors; standard errors; nonlinear econometric model; Italian economy
• 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

References

[1] Bianchi,C., G.Calzolari and P.Corsi, "A Program for Stochastic Simulation of Econometric Models", Econometrica, 46 (1978),235-236.

[2] Bianchi,C., C,.Calzolari and P.Corsi, "A Note on the Numerical Results by Goldberger, Nagar and Odeh", Econometrica, 47 (1979, forthcoming).

[3] Bianchi,C. and G.Calzolari, "The One-Period Forecast Errors in Nonlinear Econometric Models", International Economic Review, 20 (1979, forthcoming).

[4] Goldberger,A.S., A.L.Nagar and H.S.Odeh, "The Covariance Matrices of Reduced-Form Coefficients and of Forecasts for a Structural Econometric Model~, Econometrica, 29 (1961), 556-573.

[5] Havenner,A.M., "Computer Algorithm: Derived Reduced Form Coefficient Covariances", Econometrica, 44 (1976), 837.

[6] 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), 299-319.

[7] Kloek,T. and L.B.M.Mennes, "Simultaneous Equations Estimation Based on Principal Components of Predetermined Variables", Econometrica, 28 (1960), 45-61.

[8] Rao,C.R., "Linear Statistical Inference and its Applications", John Wiley, New York, (1965).

[9] Sartori,F., "Caratteristiche e Struttura del Modello", in "Un Modello Econometrico dell'Economia Italiana; Caratteristiche e Impiego", Ispeguaderni, Roma, 1 (1978), 9-36.

[10] Schmidt,P., "The Asymptotic Distribution of Forecasts in the Dynamic Simulation of an Econometric Model", Ecooometrica, 42 (1974), 303-309.

[11] Schmidt,P., "Some Small Sample Evidence on the Distribution of Dynamic Simulation Forecasts", Econometrica, 45 (1977), 997-1005.

[12] Theil,H., "Principles of Econometrics", North Holland, Amsterdam, (1971).