Il problema della coerenza delle previsioni nei modelli econometrici non lineari

The coherency problem when forecasting with nonlinear econometric models

Giorgio Calzolari and Lorenzo Panattoni

MPRA Paper from University Library of Munich, Germany

Abstract: Problems related to deterministic solution of nonlinear econometric models are well known in the literature. The use of mean (average) stochastic simulation results has been usually proposed to solve the problem of bias. This raises however other types of problems, like possible non-coherent solutions (and forecasts). In this paper we propose the use of the mode of the joint distribution of the endogenous variables, and apply the technique to a nonlinear macroeconometric model of the Italian economy.

Keywords: Nonlinear econometric model; stochastic simulation; mean; median; mode; Italian economy (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Date: 1988
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Published in Atti della XXXIV Riunione Scientifica della Societa' Italiana di Statistica Siena: Nuova Immagine Editrice, Vol 2/1 (1988): pp. 271-278

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Related works:
Journal Article: Mode predictors in nonlinear systems with identities (1990)
Working Paper: Coherent Forecast with Nonlinear Econometric Models (1988)
Working Paper: Mode predictors in nonlinear systems with identities (1988)
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