This article describes the application to an operational medium-size econometric model, mini-DMS, of methods associating, to deterministic forecasts, a measure of the uncertainty due to the stochastic nature of behavioural equations. After having described the theoretical and practical...

Several methods have been proposed in the last few years for evaluating uncertainty in forecasts produced by nonlinear econometric models. Some methods resort to Monte Carlo, while others resort to different simulation techniques. This work aims at comparing these methods by means of experiments...

It is purpose of this paper to evidence, in the behaviour of the Mini-DMS model for the French economy, some stochastic properties which may confirm, strengthen or sometimes contradict the results obtained from the standard simulation analysis, which is purely deterministic. In particular, the...

An important question for central banks is how they should report the uncertainty of their forecasts. This paper discusses a way in which a central bank could report the uncertainty of its forecasts in a world in which it used a single macroeconometric model to make its forecasts and guide its...

Purpose of this paper is the description of the tecniques used to generate pseudo-random numbers, to be added as disturbance terms to the stochastic structural equations of econometric models. These disturbance terms should have the same statistical properties as the residuals obtained, in each...