Most of the methods proposed in the literature for evaluating forecast uncertainty in econometric models need an estimate of the structural coefficiencs covariance matrix among input data. When estimation is performed with full information maximum likelihood, alternative estimators of such a...

In econometric models, estimates of the asymptotic covariance matrix of FIML coefficients are traditionally computed in several different ways: with a generalized least squares type matrix; using the Hessian of the concentrated log-likelihood; using the outer product of the first derivatives of...

When dealing with nonlinear econometric models, resort is often made to simulation techniques for the investigation of their dynamic properties. A spectral analysis using stochastic and analytic simulation is carried out on a nonlinear model of the Italian economy. The two approaces are...

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...

Stochastic simulation with antithetic variates is used to evaluate the bias of deterministic simulation in nonlinear econometric models. Application to the Klein-Goldberger model exemplifies the potentiality of the method.

Results of stochastic simulation experiments are described in this paper. The model experimented with is a large scale macroeconometric model, developed at the University of Bonn for the German economy (Model 5).

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...

Experiments of stochastic simulation on a macro model of the Italian economy; this paper describes the first results produced by the research team.

This paper describes the results of some stochastic simulation experiments performed on the most updated version of the Italian model. Due to a change in the income accounts system, the model has been completely reestimated using the new quarterly data. It consists of 128 equations, 50 of which...

The stochastic simulation of an econometric model is an application of Monte Carlo methods. Deterministic simulation is performed setting error terms to zero. Stochastic simulation, on the contrary, takes into account the disturbance terms, solving the model after adding a vector of...