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Analyse et mesure de l'incertitude en prevision d'un modele econometrique. Application au modele mini-DMS

Analysis and measurement of forecast uncertainty in an econometric model. Application to mini-DMS model

Carlo Bianchi (), Jean-Louis Brillet and Giorgio Calzolari

MPRA Paper from University Library of Munich, Germany

Abstract: This article describes the application to an operational medium-size econometric model, mini-DMS, of methods associating, to deterministic forecasts, a measure of the uncertainty due to the stochastic nature of behavioural equations. After having described the theoretical and practical foundations of the methods, we shal l analyze sequentially the deterministic bias, the uncertainty (standard error) of forecasts and of policy instruments, trying to look at the information from the point of view of the policy maker.

Keywords: Mini-DMS model of France; Stochastic simulation (search for similar items in EconPapers)
JEL-codes: C53 C52 C30 (search for similar items in EconPapers)
Date: 1984, Revised 1984
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Published in Annales de l'INSEE 54 (1984): pp. 31-62

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