Dobrescu, Emilian and Pauna, Bianca (2007): Stochastic simulations on the Romanian macroeconomic model. Published in: Proceedings of the 34th international conference "Macromodels 2007", Poland, Raszyn, December 5-8, 2007 (2008): pp. 61-84.
Download (226kB) | Preview
The paper presents the methodology for attaching probability distribution or intervals of variation to point forecasts. This methodology might prove significant for countries that have suffered deep structural transformations in their not very distant past. For these models, stability is more difficult to be achieved, because some coefficients lack accuracy of estimation, and this is not visible until intervals of variation are constructed. Forecasts consist traditionally in sets of values of key economic indicators, with no information regarding the associated uncertainty. Our assessment is that policy makers would benefit if they would be given probabilities as well as values, and the methodology of stochastic simulation, presented in this paper quantifies the uncertainty of the coefficients of the behavioural equations, on a reduced version of the Romanian Market Economy Model. In our paper we present the advantages of applying stochastic simulation on macromodels of emerging market economies, both from a cognitive and practical perspective. On one hand, researchers have an instrument to check the operational properties of a given model, and subsequently improve them, and, on the other hand, policy makers by incorporating the uncertainty into the decisional mechanism, have additional information which would help them in efficiently defining and promoting their targets.
|Item Type:||MPRA Paper|
|Original Title:||Stochastic simulations on the Romanian macroeconomic model|
|Keywords:||macromodel, uncertainty, bootstrap, simulation|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General|
|Depositing User:||Emilian Dobrescu|
|Date Deposited:||05. Jan 2012 00:41|
|Last Modified:||16. Sep 2015 20:23|
Dobrescu, E. (2005): “Macromodel Estimations for the Updated 2004 Version of the Romanian Pre- Accession Economic Programme”, PHARE programme RO2003/005-551.02.03 "Strengthening the capacity for analysis, macroeconomic forecast and elaboration of economic policies within the National Commission of Prognosis, the Ministry of Economy and Trade and the Prime Minister's Cabinet” – Romanian Center for Economic Policies [http://www.cnp.ro/site/]
Dobrescu, E. (2006): “Macromodels of the Romanian Market Economy”, Economica Publishing House, Bucharest
Fair, R.C. (1980): “Estimating the Expected Predictive Accuracy of Econometric Models” International Economic Review No. 21, pp 355–378.
Fair, R.C. (1993): “Estimating Event Probabilities in Macroeconometric Models using Stochastic Simulation” in J. Stock and M. Watson (eds.), Business Cycles, Indicators, and Forecasting, The University of Chicago Press, pp. 157 – 176.
Franz, W. and K. Goggelmann, M. Schellhorn, P. Winker (1998): “Quasi – Monte Carlo Methods in Stochastic Simulation. An Application to Fiscal Policy Simulations using an Aggregate Disequilibrium Model of the West German Economy 1960 – 1994. Discussion Paper No. 98–03, ZEW, Mannheim.
Gajda, J. B. and A. Markowski (1998): “Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS”, Working Paper 61, National Institute of Economic Research Sweden, http://www.konj.se/download/18.2f48d2f18732142c 7fff533/ Wp61.pdf.
McWhorter, A. and W. Allen Spivey, W. J. Wrobleski (1976): “A Sensitivity Analysis of Varying Parameter Econometric Models”, International Statistical Review, Vol. 44, No. 2, pp. 265–282.
Pauna, B. and A.I. Parvu (2006); “Reestimarea funcŃiilor comportamentale”, the Seminar “Versiunea 2005B a macromodelului economiei românesti”, organised by the National Commission of Prognosis (CNP) and the Romanian Centre for Economic Policies (CEROPE), Bucharest, July 2006, Marriott Grand Hotel.
Pindyck, R. S. and D. L. Rubinfeld (1991): Econometric Models and Economic Forecasts, McGraw Hill, third edition.