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.

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...

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.

The numerical example which completes the paper by Goldberqer, Nagar and Odeh, on the estimated asymptotic covariance matrix of the reduced form coefficients for the Klein-I model estimated by Two Stage Least Squares (2SLS), has led to some misinterpretations of the properties of the model. In...

It is known that a program loaded into the User Program Area can load, via SVC 202, only programs to be allocated in the Transient Program Area and not programs to be allocated in the same User Program Area. To allow any program to use also this second type function, a procedure is proposed in...

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

This work is mainly intended for applied econometricians and students interested in development and application of estimation methods for structural econometric models. For the Klein-I model, detailed numerical tables of the parameters of the structural and restricted reduced form, of their...

In this paper, a package implemented at the Scientific Center of IBM Italy in Pisa for the stochastic simulation of linear and non-linear econometric models is presented. After a survey on the adopted methodologies, the input requirements and the produced output are described in some details,...

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.

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...