Monte Carlo experimentation in econometrics
DF Hendry - Handbook of econometrics, 1984 - Elsevier
Publisher Summary At the outset, it is useful to distinguish Monte Carlo methods from
distribution sampling even though their application in econometrics may seem rather similar …
distribution sampling even though their application in econometrics may seem rather similar …
Standard errors of forecasts in dynamic simulation of nonlinear econometric models: Some empirical results
C Bianchi, G Calzolari - 1983 - mpra.ub.uni-muenchen.de
In nonlinear econometric models, the evaluation of forecast errors is usually performed,
completely or partially, by resorting to stochastic simulation. However, for evaluating the …
completely or partially, by resorting to stochastic simulation. However, for evaluating the …
Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS
JB Gajda, A Markowski - 1998 - ideas.repec.org
One aspect of model behaviour that is of interest to the model builder is sensitivity to different
forms of errors. This can be investigated using stochastic simulations, as shown by Gajda …
forms of errors. This can be investigated using stochastic simulations, as shown by Gajda …
Stochastic prediction in dynamic nonlinear econometric systems
RS Mariano, BW Brown - Annales de l'INSEE, 1985 - JSTOR
Many econometric models being used currently for fore casting and/or policy analysis
consist of a statistically estimated system of nonlinear dynamic simultaneous stochastic …
consist of a statistically estimated system of nonlinear dynamic simultaneous stochastic …
Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix
G Calzolari, L Panattoni - 1984 - mpra.ub.uni-muenchen.de
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 …
econometric models need an estimate of the structural coefficiencs covariance matrix among …
[PDF][PDF] Modelling. Support from the Workshop, the ESRC Macroeconomic Modelling Bureau, and the Department of Economics at the University of Warwick is deeply …
RS Mariano - 1985 - ageconsearch.umn.edu
Many econometric models for forecasting and policy analysis Consist of a statistically
estimated system of nonlinear simultaneous stochastic equations. The distinguishing feature …
estimated system of nonlinear simultaneous stochastic equations. The distinguishing feature …