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...

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...

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...

Multipliers are often used for selecting alternative policies in economic planning and forecasting. Particular variables like employment, trade balance, inflation or government budget usually impose constraints on the policy action. Therefore a criterion to be preferred to the raw multiplier...

The evaluation of policy actions by means of a large scale econometric model often begins with the analysis of multipliers. A large value of a multiplier, with the right sign, suggests that the policy instrument should be very effective in moving up or down the given target variable. However,...

The drawbacks of forecasts obtained with the usual deterministic solution methods in nonlinear systems of stochastic equations have been widely investigated in the literature. Most of the proposed therapies are based on some estimation of the conditional mean of the endogenous variables in the...

Some results os stochastic simulation of a small Italian macroeconometric model are presented.

A well known macroeconometric model of the Italian economy is updated to produce forecasts at 1974.

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...

Some analytic simulation techniques for the analysis of the reduced form and of the dynamic properties of econometric models are described. Comparisons are made with analytical methods available for linear models.