Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods
Carlo Bianchi () and
MPRA Paper from University Library of Munich, Germany
This paper is concerned with the contribution to forecast errors of errors in the estimated structural coefficients of a macro-econometric model (simultaneous equations). Its main purpose is to perform, on several "real-world" models, an empirical comparison of alternative techniques available in the literature for this purpose.
Keywords: Forecast errors; coefficient estimation errors; Monte Carlo; simultaneous equation models (search for similar items in EconPapers)
JEL-codes: C53 C52 C30 (search for similar items in EconPapers)
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Published in Evaluating the reliability of macro-economic models Ed. by G.C.Chow and P.Corsi, John Wiley & Sons, Ltd. (1982): pp. 251-277
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:22559
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