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Evaluating forecast uncertainty due to errors in estimated coefficients: empirical comparison of alternative methods

Carlo Bianchi () and Giorgio Calzolari

MPRA Paper from University Library of Munich, Germany

Abstract: 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)
Date: 1982
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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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