This article compares GARCH (1, 1) and IGARCH (1, 1) models via a Monte Carlo study of
the finite-sample properties of the maximum likelihood estimator and related test statistics …

Large‐scale econometric models of national economies estimated from time series data
have developed substantially since the pioneering work of Tinbergen (1937; 1939) and …

We present a new variance reduction technique that naturally applies to price financial
derivatives by Monte Carlo simulation. Inspired by multigrid methods for solving PDEs, the …

Simulation estimators, such as indirect inference or simulated maximum likelihood, are
successfully employed for estimating stochastic differential equations. They adjust for the …

This paper proposes a tripartite framework of design, evaluation, and post‐evaluation
analysis for generating and interpreting economic forecasts. This framework's value is …

Five alternative techniques have been applied to measure the degree of uncertainty
associated with the forecasts produced by a macro-model of the French economy, the Mini …

This paper analyses the stochastic simulation of econometric models using three different
methods for specifying the probability distribution of the structural error terms. The impact of …

VARIANCES OF MULTIPERIOD FORECASTS produced from dynamic simulation of
simultaneous equation systems provide useful information on the operational properties of …

Cet article présente une étude du comportement à distance finie des estimateurs du pseudo-
maximum de vraisemblance dans le cadre d'un modèle de Poisson. Les simulations sont …

In the econometric literature simulation techniques are suggested for estimating standard
errors of forecasts, especially in case of nonlinear models, where explicit analytic formulae …