Small sample estimation and stochastic simulation of an econometric model
Ahlstedt, Monica (01.03.1986)
Numero
63Julkaisija
Bank of Finland
1986
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201808081958Tiivistelmä
Let us define a macroeconomic model as a system of simultaneous equations describing the behaviour of the economic units that we observe around us and want to explain. Models are the most widely known and used quantitative instruments for economic forecasting and evaluation of the effects of alternative government actions on the econorny1. When models are used for economic policy purposes, it is important that policy makers should be provided with a measure of reliability along with the forecasts. This study is concerned with the uncertainty inherent in economic models. The aim of the study is twofold: first to investigate how to improve the reliability of the model by minimizing the uncertainty the estimation phase of the model and then how to calculate the variance-covariance matrix of forecasts so as to rneasure the reliability of a model.