| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP86 |
| DP86 On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models | |
| Mark Salmon; Paul Fisher | |
| 发表日期 | 1985-12-01 |
| 出版年 | 1985 |
| 语种 | 英语 |
| 摘要 | Most model builders continue to treat their models as deterministic when forecasting, despite the fact that these models are composed of equations which are stochastic in nature. Deterministic solution methods ignore the stochastic information on the model structure and in addition produce biased forecasts in non-linear models. It is therefore important to investigate whether a given model is significantly non-linear. After commenting on the poor simulation methodology employed in a number of earlier studies, we find significant non-linear effects in two large macro models of the United Kingdom economy. This is confirmed by two tests that we propose for assessing the importance of non-linearity in such models. |
| 关键词 | Large macro-econometric models Non-linearity Stochastic simulation |
| URL | https://cepr.org/publications/dp86 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529242 |
| 推荐引用方式 GB/T 7714 | Mark Salmon,Paul Fisher. DP86 On Evaluating the Importance of Non-Linearity in Large Macroeconometric Models. 1985. |
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