For some structural econometric models, the contribution of the off-diagonal blocks of the coefficients covariance matrix to the asymptotic standard errors of multipliers and forecasts is empirically evaluated.

This paper is concerned with the contribution to forecast errors of errors in the estimated structural coefficients of a macro-econometric model (simultaneous equations). Its main purpose is to perform, on several "real-world" models, an empirical comparison of alternative techniques available...

This paper presents an interactive computer package to handle and process economic data organized as time series. It is expected to provide help and great benefits to econometric model builders.

In this paper the results of six different estimation methods appliead to a linear aggregated model of the Italian economy are at first displayed. Afterwards, the inherent dynamic characteristics and the simulation properties of the six sets of estimates are analyzed. In no case the obtained...

In nonlinear econometric models, the evaluation of forecast errors is usually performed, completely or partially, by resorting to stochastic simulation. However, for evaluating the specific contribution of errors in estimated structural coefficients, several alternative methods have been...

The estimation method of Two Stage Least Squares (2SLS) with Principal Components (2SPC) is applied to a medium-sized nonlinear econometric model of the Italian Economy.

Experiments of stochastic simulation on a nonlinear macroeconometric model are described in this paper. The results are used both for improving the validation of a model of the Italian economy and for revisiting the heuristic value of the stochastic simulation methodology.

At tbe IBM Pisa Scientific Center an interactive package has been developed under CP-67/CMS, which is particularly helpful when the data to be processed are time series. The interactive facilities of the operating system CP-67/CMS are strenghtened in such a way as to allow an easy interactive...

When the coefficients of a Tobit model are estimated by maximum likelihood their covariance matrix is typically, even if not necessarily, associated with the algorithm employed to maximize the likelihood. Covariance estimators used in practice are derived by: (1) the Hessian (observed...

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...