Stochastic simulation of KVARTS91
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Sammendrag
This report documents stochastic simulations of the quarterly macroeconometric model
KVARTS91, implemented in the TROLL software system.
By means of stochastic simulation we want to see whether the standard deterministic
model solution approximates the expectation of a stochastic model solution, and to
quantify (some of) the econometric uncertainty in that stochastic solution. A built-in
Stochastic Simulator is used to simulate the model with stochastic residuals and stochastic
parameter estimates, assuming normal distributions for the stochastic input. The
model is simulated ex ante through 1993 and 1994. The results show less than 1 percent
deterministic bias in the endogenous variables. On the other hand do the widths
of the simulated (95 percent) prediction intervals vary a lot. But, for most variables the
interval widths stay below 10 percent of the level of the variable. The uncertainty in
the model solutions imply that an analysis based on stochastic rather than deterministic
model simulations may lead to more subtle conclusions.
To make stochastic simulation a feasible and realistic alternative to standard deterministic
simulation, commands that prepare and govern the stochastic simulation by
TROLL's Stochastic Simulator have been collected into macros. Some effort has also
been put into the writing of small programs that make the documentation of a stochastic
simulation experiment a swift semi-automatic procedure.
Beskrivelse
When using material from this publication, Statistics Norway shall be quoted as the source.