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Coherent Forecast with Nonlinear Econometric Models

Giorgio Calzolari and Lorenzo Panattoni

MPRA Paper from University Library of Munich, Germany

Abstract: The drawbacks of forecasts obtained with the usual deterministic solution methods in nonlinear systems of stochastic equations have been widely investigated in the literature. Most of the proposed therapies are based on some estimation of the conditional mean of the endogenous variables in the forecast period. This however provides a solution to the problem which does not respect the internal coherency of the model, and in particular does not satisfy nonlinear identities. This paper proposes to estimate the mode of the joint distribution of the endogenous variables as an alternative optimal predictor.

Keywords: Nonlinear econometric models; stochastic simulation; mean and mode; coherent solution (search for similar items in EconPapers)
JEL-codes: C63 C3 (search for similar items in EconPapers)
Date: 1988-06-12
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Published in paper presented at The Eighth International Symposium on Forecasting. Universiteit van Amsterdam and Vrije Universiteit Amsterdam, June 12-15. (1988): pp. 1-6

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Related works:
Journal Article: Mode predictors in nonlinear systems with identities (1990) Downloads
Working Paper: Il problema della coerenza delle previsioni nei modelli econometrici non lineari (1988) Downloads
Working Paper: Mode predictors in nonlinear systems with identities (1988) Downloads
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