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 the econometric literature simulation techniques are suggested for estimating standard errors of forecasts, especially in case of nonlinear models, where explicit analytic formulae are not available. For this purpose analytic simulation on coefficients, Monte Carlo on coefficients, Monte...

FIML estimates of a simultaneous equation econometric model can be obtained by iterating to convergence an instrumental variables formula that is perfectly consistent with the intuitive textbook-type interpretation of efficient instruments: instruments for an equation must be uncorrelated with...

DMS/2 (Decisional Models Solution, version 2) is a computer package for solution of nonlinear econometric models. This technical report describes the new features that improve over the DMS-package.

Lecture notes for a course of Introductory Econometrics (linear regression model and ordinary least squares, including concepts of Linear Algebra and Inferential Statistics), and for a second course of Econometrics (simultaneous equations, instrumental variables, limited and full information...

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.

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...

The problem of deriving asymptotic statistical properties of impact multipliers from a consistent estimate of a structural non-linear econometric model is discussed. The theoretical aspects, which generalize the results derived by Goldberger, Nagar and Odeh for linear models, are analyzed in...

In econometric models specified as systems of simultaneous equations, forecast errors can be regarded as random variables whose variances can be investigated, analyzed and estimated. This book summarizes results available in the literature for linear and nonlinear econometric models, when...