Mode predictors in nonlinear systems with identities

Giorgio Calzolari and Lorenzo Panattoni

MPRA Paper from University Library of Munich, Germany

Abstract: For a nonlinear system of simultaneous equations, the mode of the joint distribution of the endogenous variables in the forecast period is proposed as alternative to the more usual deterministic or mean predictors. A first method follows from maximizing the joint density of a subset of the endogenous variables, corresponding to stochastic equations only (analogously to FIML estimation, where identities are first substituted into stochastic equations). Then a more general approach is developed, which maintains the identities. The model with identities is viewed as a mapping between the space of the random errors and a hypersurface in the space of the endogenous variables; the probability density is defined, and maximization is performed on such a hypersurface. Experimental results on these two mode predictors (and comparisons with deterministic and mean predictors) are provided for a macro model of the Italian economy.

Keywords: Nonlinear econometric models; simultaneous equations; deterministic predictor; mean predictor; joint density function. (search for similar items in EconPapers)
JEL-codes: C3 C63 (search for similar items in EconPapers)
Date: 1988-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in International Journal of Forecasting. Working paper presented at the European Meeting of the Econometric Society, Bologna, 1988. pp.1-29 6 (1990): pp. 317-326

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/28845/1/MPRA_paper_28845.pdf original version (application/pdf)

Related works:
Journal Article: Mode predictors in nonlinear systems with identities (1990)
Working Paper: Il problema della coerenza delle previsioni nei modelli econometrici non lineari (1988)
Working Paper: Coherent Forecast with Nonlinear Econometric Models (1988)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28845

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().