Stochastic simulation of econometric models: installation procedures and user's instructions

Bianchi, Carlo and Calzolari, Giorgio and Corsi, Paolo (1978): Stochastic simulation of econometric models: installation procedures and user's instructions. Published in: IBM Italy Technical Report No. G513-3568 (March 1978): pp. 1-46.

Abstract

This manual describes the input requirements and the installation procedures of the program for stochastic simulation of econometric models, announced in Econometrica, volume 46, number 1, (January 1978). This program is available on magnetic tape, including samples (Klein-I and Klein-Goldberger models) and installation procedures under the operating system VM-370/CMS; format and contents of the tape are briefly described. The input data sets and the final printed output of the stochastic simulation of the Klein-I model are displayed.

• Item Type: MPRA Paper
• Language: English
• Keywords: Stochastic simulation; econometric models; user's manual; installation procedure
• Subjects: C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software

References

Bianchi,C., G.Calzolari and P.Corsi, "Divergences in the Results of Stochastic and Deterministic Simulation of an Italian Non Linear Econometric Model", in L.Dekker, ed., "Simulation of Systems", North Holland, Amsterdam, (1976).

Bianchi,C., G.Calzolari and P.Corsi, "A Program for Stochastic Simulation of Econometric Models", Econometrica, v.46, n.1 (1978).

Calzolari,G., T.A.Ciriani and P.Corsi, "Generation and Testing of Pseudo-Random Numbers with Assigned Statistical Properties to be Used in the Stochastic Simulation of Econometric Models", IBM Technical Report CSP034/513-3544, Pisa, (1976).

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, v.29, n.4, (1961).

IBM, "Virtual Machine Facility/370: CMS Command and Macro Reference", GC20-1818, IBM, New York, (1976).

Klein,L.R., "Estimation of Interdependent Systems in Macroeconometrics", Econometrica, v.37, n.2, (1969).

Klein,L.R., "A Textbook of Econometrics", Prentice Hall, Englewood Cliffs, (1974).

Sowey,E.R., "Stochastic Simulation of Macroeconometric Models: Methodology and Interpretation", in A.A.Powell and R.A.Williams, eds., "Econometric Studies of Macro and Monetary Relations", North Holland, Amsterdam, (1973).