This paper considers an alternative asymptotic framework to standard sequential asymptotics for nonlinear models with deterministically trending variables. The asymptotic distributions of generalized method of moments estimators and corresponding test statistics are derived using this framework....

Problems related to deterministic solution of nonlinear econometric models are well known in the literature. The use of mean (average) stochastic simulation results has been usually proposed to solve the problem of bias. This raises however other types of problems, like possible non-coherent...

The importance of the simulation (both deterministic and stochastic) in the validation process of a non linear econometric model is underlined. Synthetic results of a large set of simulations on a non linear model of the Italian economy are presented. The benefits and the risks of the stochastic...

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...