G2TT
来源类型Discussion paper
规范类型论文
来源IDDP86
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
URLhttps://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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