La varianza delle previsioni nei modelli econometrici

Forecast variance in econometric models

Giorgio Calzolari

MPRA Paper from University Library of Munich, Germany

Abstract: In econometric models specified as systems of simultaneous equations, forecast errors can be regarded as random variables whose variances can be investigated, analyzed and estimated. This book summarizes results available in the literature for linear and nonlinear econometric models, when forecasts are one-step ahead or multi-steps ahead. Theoretical, practical and computational problems are considered. Complete data-sets and detailed numerical results are provided for several models; these results can be replicated by econometric researches when "tuning" their computer algorithms.

Keywords: Econometric models; simultaneous equations, forecast; variance of forecast error (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Date: 1987-06
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Published in CLEUP Editore - Padova - Italy Serie didattica.3(1987): pp. 1-230

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