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.

For multivariate datasets with missing values, we present a procedure of statistical inference and state its "optimal" properties. Two main assumptions are needed: (1) data are missing at random (MAR); (2) the data generating process is a multivariate normal linear regression. Disentangling the...

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...

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.

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...